Quantitative Stress Testing Analyst

4 weeks ago

London, Greater London, United Kingdom Citigroup Inc. Full time

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in programming / analytics and problem solving to Citigroup Inc.

By joining our team, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Team / Role Overview:

The successful candidate will join the Material Legal Entity (MLE) Stress Testing team within the Enterprise Risk Management (ERM). The mandate of the team is to provide Model Sponsor support activities, define methodology assumptions, develop models and support CRO in assessing stress testing results.

The individual will be part of a team that have developed models for ICAAP (mainly counterparty credit risk) and will be expected to conceptually contribute to the design of modelling enhancements, as well as perform hands-on model development. Apart from model development, the team is responsible for the end-to-end Citi Global Market Limited (CGML) ICAAP process (Risk side) and this includes review of ICAAP results, assessment of ICAAP scenarios and correspondence with the UK regulator i.e. PRA.

This role will contribute to oversee analytical tools/models that are developed for CGML's ICAAP exercise, as well as provide the analytical support required by the size and complexity of the CGML legal entity. This includes the development of new models that they are fit-for-purpose at the legal entity level when global solutions are not available.

What you'll do:

  • Analyse ICAAP results and provide commentary of the key drivers, as well as prepare decks for senior committees where ICAAP results are discussed and approved.
  • Play the role of model developer e.g. write code in Python and submit documentation with testing to Citi Model Risk Management, when model enhancements for Global models are deemed necessary, or a new model is required.
  • Contribute to activities required to enhance the models developed for the CGML ICAAP i.e. liaise with Model Sponsor and Reporting teams to analyse data and modelling assumptions.
  • Design, implement and monitor ICAAP controls, as well as automate data controls in Python, for the models used in the CGML ICAAP.
  • Ensure that all models developed by the team are compliant with the Citi Model Risk Management Policy and that all subsequent lifecycle activities (e.g. limitation remediation and ongoing performance analysis) are completed within timelines set up by Citi Model Validation team.

What we'll need from you:

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

What can we offer you:

The successful candidate will have the opportunity to work on a wide range of strategic and analytical topics within capital planning and stress testing frameworks. The candidate 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 Citigroup Inc., 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 such as:

  • Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure
  • A discretional 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 Citigroup Inc. 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.

Sounds like Citigroup Inc. has everything you need? Then apply to discover the true extent of your capabilities.

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