Senior Model Quant
1 miesiąc temu
The successful candidate will join the Material Legal Entity (MLE) Stress Testing team within the Enterprise Risk Management (ERM) Organisation. 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 successful candidate for this role will have the mandate to oversee analytical tools that are developed and/or used for ICAAP-related stress testing exercises, as well as provide the analytical support required by the size and complexity of Citi’s UK largest legal entity. This includes the development of new models that are fit-for-purpose at the legal entity level when new global solutions are not available. The successful candidate will be part of a team of model quants that have developed models for ICAAP (mainly counterparty credit risk) and will be expected to conceptually lead the design of modelling enhancements, as well as perform hands-on model development.
The candidate will need to become highly conversant in technical aspects of models in order to oversee their local usage and to explain key model mechanics and methodology to a non-technical audience, which may include portfolio risk managers, senior management/committees, regulators, and/or auditors. The role will provide broad exposure to Citi’s businesses across the region and develop expertise spanning multiple risk stripes as the candidate will also be expected to understand the key local requirements and critically assess the level of analytical support needed to adequately capture these risks.
Responsibilities:
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
Perform hands-on model development when new models are deemed necessary. Create synergies when developing new models to consider requirements across all MLE teams
Responsible for creating and maintaining the team’s book of work (BoW) incorporating model development activities required for the CGML ICAAP and the associated timelines
Lead the activities required to enhance the models developed for the CML ICAAP e.g. lead junior team members and liaise with other Citi partners such as Technology
Work closely with Global development groups to ensure that already developed methodologies are utilised to the maximum when developing a new model
Play the role of model developer e.g. write code in Python and submit documentation to Citi Model Risk Management, when model enhancements for Global models are deemed necessary and Global teams do not have the capacity to support ICAAP tight timelines
Academic Qualifications
Excellent academic background, including advanced degree (e.g., PhD/Master) in quantitative discipline, such as economics, finance, statistics/mathematics, sciences or engineering
Experience and Skills
7+ years of experience in financial services sector, in roles requiring superior problem-solving analytical capabilities (in the context of ICAAP is highly desirable)
Experience in model development is prerequisite; 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 are strongly preferred
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 (TWD knowledge is a plus), are strongly preferred
Demonstrated project management and organizational skills and capability to handle multiple projects at one time and ability to build relationships confidently at all levels;
Expert in topics related to Model Development Lifecycle and Model Risk Management;
Personal Traits
Highly 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
Giving careful attention to detail, whilst also considering bigger picture and wider implications
Capable of delivering high quality results, with challenging but positive influencing style
What’s on Offer?
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
Valuing Diversity: Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organizational success
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Job Family Group:
Risk Management------------------------------------------------------
Job Family:
Risk Analytics, Modeling, and Validation------------------------------------------------------
Time Type:
Full time------------------------------------------------------
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