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Quantitative Stress Testing Analyst

2 months ago

London, Greater London, United Kingdom Citi Full time
Job Title: Stress Testing Quantitative Analyst

Citi is seeking a highly skilled Stress Testing Quantitative Analyst to join our Enterprise Risk Management team. As a key member of our team, you will be responsible for providing model sponsor support activities, defining methodology assumptions, developing models, and supporting the Chief Risk Officer in assessing stress testing results.

Key Responsibilities:

  • Analyzing ICAAP results and providing commentary on key drivers, as well as preparing decks for senior committees where ICAAP results are discussed and approved.
  • Developing and implementing models for stress testing, including writing code in Python and submitting documentation for testing to Citi Model Risk Management.
  • Contributing to activities required to enhance models developed for the CGML ICAAP, including liaising with Model Sponsor and Reporting teams to analyze data and modeling assumptions.
  • Designing, implementing, and monitoring ICAAP controls, as well as automating data controls in Python, for the models used in the CGML ICAAP.
  • Ensuring that all models developed by the team are compliant with the Citi Model Risk Management Policy and that all subsequent lifecycle activities are completed within timelines set up by Citi Model Validation team.

Requirements:

  • Excellent academic background, including an advanced degree in a quantitative discipline, such as economics, finance, statistics, mathematics, sciences, or engineering.
  • Solid experience in the financial services sector, with roles requiring excellent problem-solving analytical capabilities, particularly in the context of ICAAP.
  • Experience in model development, preferably in Market Risk modeling, VaR, and Monte Carlo Simulation, or Counterparty Credit Risk, CVA, exposure profile modeling.
  • Very good programming skills in at least one programming language, preferably Python.
  • Familiarity with PRA regulatory guidance around financial stress testing principles and methodologies is highly desirable.
  • Organizational skills and the ability to handle multiple projects simultaneously, as well as build relationships confidently at all levels.
  • Good knowledge of Model Development Lifecycle and Model Risk Management.
  • Motivated, with the ability to work both independently and collaboratively.
  • Logical and thoughtful approach to work, with the ability to perform well under pressure and meet tight deadlines.
  • Ability to deliver high-quality results, with a challenging but positive influencing style.

What We Offer:

Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day. We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive. As a Stress Testing Quantitative Analyst, you will have the opportunity to work on a wide range of strategic and analytical topics within capital planning and stress testing frameworks. You will also have the opportunity to interact with a wide team of quantitative risk analysts, risk management professionals, and senior management across multiple geographies and businesses, and in doing so, gain an expansive view of the firm.

We work hard to have a positive financial and social impact on the communities we serve. In turn, we put our employees first and provide the best-in-class benefits they need to be well, live well, and save well. By joining Citi London, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed), and enjoy a whole host of additional benefits, including:

  • Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure
  • A discretionary annual performance-related bonus
  • Private medical insurance packages to suit your personal circumstances
  • Employee Assistance Program
  • Pension Plan
  • Paid Parental Leave
  • Special discounts for employees, family, and friends
  • Access to an array of learning and development resources

Alongside these benefits, Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day. We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive.