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Quantitative Stress Testing Analyst
2 months ago
Are you looking for a challenging role that will allow you to utilize your analytical skills in a global financial institution? We are seeking a Stress Testing Quantitative Analyst to join our team at Citigroup Global Markets Limited.
About the Role:The successful candidate will be part of our Enterprise Risk Management team, responsible for providing Model Sponsor support activities, defining methodology assumptions, developing models, and supporting the Chief Risk Officer in assessing stress testing results. You will work closely with our team to develop models for ICAAP (mainly counterparty credit risk) and contribute to the design of modeling enhancements. Additionally, you will perform hands-on model development and be responsible for the end-to-end ICAAP process for Citi Global Market Limited.
Key Responsibilities:- Analyze ICAAP results and provide commentary on key drivers, preparing decks for senior committees to discuss and approve ICAAP results.
- Develop and submit models for Citi Model Risk Management, writing code in Python and documenting testing.
- Contribute to activities required to enhance models developed for the CGML ICAAP, liaising with Model Sponsor and Reporting teams to analyze data and modeling assumptions.
- Design, implement, and monitor ICAAP controls, automating data controls in Python for models used in the CGML ICAAP.
- Ensure all models developed by the team are compliant with the Citi Model Risk Management Policy and complete subsequent lifecycle activities within set timelines.
- Advanced degree in a quantitative discipline, such as economics, finance, statistics/mathematics, sciences, or engineering.
- Experience in financial services, with excellent problem-solving analytical capabilities, preferably in ICAAP.
- Model development experience, particularly in Market Risk modeling (VaR and Monte Carlo Simulation) and/or Counterparty Credit Risk (CVA, exposure profile modeling).
- Proficiency in Python programming and familiarity with PRA regulatory guidance on financial stress testing principles and methodologies.
- Organizational skills, ability to handle multiple projects, and build relationships confidently at all levels.
- Knowledge of Model Development Lifecycle and Model Risk Management.
- Motivated, with ability to work independently and collaboratively, and perform well under pressure.
As a Stress Testing Quantitative Analyst at Citigroup Global Markets Limited, 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 interact with a diverse team of quantitative risk analysts, risk management professionals, and senior management across multiple geographies and businesses. We offer a competitive base salary, annual performance-related bonus, private medical insurance, employee assistance program, pension plan, paid parental leave, and special discounts for employees, family, and friends. We are committed to creating an inclusive workplace where everyone feels comfortable coming to work as their whole self every day.
