Senior Model Developer

6 miesięcy temu

Warsaw, Polska 00002 Citibank, N.A. Pełny etat

About DART:

DART is the leading risk modeling and data analytics team in Citi. We use mathematical modeling and the latest technologies to calculate risk for the largest portfolios in Citi. We use visualizations and dashboards to communicate risk to senior stakeholders. Our models and analytics ensure that the bank has adequate capital during crisis.

About People in DART:

We are a diverse group of professionals with backgrounds in physics, engineering, finance, economics, and data science. You will work alongside experienced colleagues to further develop your analytical and quantitative skills. Your responsibilities will include building models and analytical applications to tackle real-world challenges, paving the way for a career as a risk management expert and leader.

Responsibilities:

Work with colleagues in Risk Management to understand the drivers of losses and the business context to improve the design of the analytics. Develop stress loss models for operational risk models, including regulatory capital models and CCAR models. Leverage knowledge of risk assessment, risk monitoring and risk models and techniques to develop, test, document, and enhance portfolio models, visualization and diagnostic tools for testing model robustness, stability and performance.  Research and analyze financial loss data, and issue special reports identifying risk drivers, estimating financial risk and measuring model risk. Develop and maintain clear documentation for methodologies and applications, including project plans, model descriptions, mathematical derivations, data analysis, process and quality controls.  Support the implementation of analytical tools by reporting functions, and the migration of models to the production environment. Facilitate cross-functional dialogue with business and clients to improve risk reporting and internal and external regulatory compliance.  Actively participate in the analysis and interpretation of results, incorporating feedback as appropriate into models and metrics.  Provide timely and accurate response to business, management and regulators. Participate in discussions with model validation, internal and external audits and regulatory reviews

Qualifications:

Masters (PhD preferred) in a quantitative discipline such as statistics, economics, math, or other sciences and engineering. Operational risk experience is helpful but not required. 1-3+ years of financial experience. An interest and ability to learn the business, regulatory and risk management context Extensive experience with statistical analysis, modelling techniques and numerical implementations. Programming skills are required. Matlab, SAS, and R are helpful but prior experience in them is not required. Experience in developing and maintaining clear documentation for models, model validation, project plans and processes. Excellent written and verbal communication skills and the ability to discuss technical issues with clients, peers, auditors, regulators and senior management.

We offer:

Work in a challenging area of the financial industry with one of the world's leading companies with exposure to variety of products, processes and controls. Cooperation with a high quality, international, multicultural and global team. Work in a friendly and diversified environment, appreciating differences in style and perspective and using them to add value to decisions leading to organizational success. Management supporting balanced and agile work (flexible working hours, home office). Attractive benefits package (Benefit System, medical care, pension plan etc.). A chance to make a difference with various affinity networks and charity initiatives.

#LI-DP1

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review .

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