Head of Risk Capital Model Development - Director

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your extensive skills and experience of quantitative risk modeling, analytics, or finance along with strong knowledge of Risk Capital frameworks to Citi’s Risk Data, Analytics, Reporting & Technology (DART) business within Risk Management.

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

Role / Team Overview:  

This role requires a thorough understanding of the strategic direction of Risk Capital modeling within Risk Management and Citi overall, combined with deep conceptual and practical expertise in quantitative risk modeling.  A strong understanding of industry practices, regulatory capital frameworks, and competitor approaches is required to contribute to the firm’s strategic and commercial objectives.  Excellent communication skills are required to negotiate internally, often at a senior level, and to engage with regulators, internal audit, and other control functions. The role is responsible for executing functional strategy, determining the approach to implementation, and is accountable for results, planning, policy execution, and contribution to future strategy.

DART’s Mandate is to:

1. Support intelligent risk decisions and proactive management of Citi’s risks across the enterprise.

2. Deliver risk information and analysis to help navigate our complex risks and regulatory landscape.

3. Provide expertise of risk data and dimensions to develop and produce reports and analytics.

4. Deploy innovative technological tooling, design policies, and define leading control practices.

What you’ll do:

• Provide strategic leadership and oversight for the design, development, enhancement, and maintenance of Risk Capital models across wholesale credit risk, counterparty credit risk, market risk, and concentration risk frameworks.
• Own and manage the full model lifecycle for Risk Capital models, including methodology design, development oversight, implementation coordination, performance monitoring, and ongoing enhancement.
• Set modeling standards and expectations for advanced quantitative methodologies, including Monte Carlo simulation–based frameworks, correlation and dependency modeling, loss and recovery modeling, capital allocation methodologies, and stress loss estimation.
• Ensure Risk Capital models appropriately measure and monitor default risk, loss severity, concentration risk, tail risk, and diversification effects across portfolios, legal entities, sectors, and regions.
• Provide oversight of model testing activities including benchmarking, back‑testing, sensitivity analysis, and ongoing performance monitoring to ensure robustness, stability, and regulatory compliance.
• Oversee the preparation, quality, and consistency of model documentation in accordance with Citi Model Risk Management policies and governance standards.
• Ensure policies, procedures, and model inventories related to Risk Capital are maintained, reviewed periodically, and approved through appropriate governance committees.
• Lead interactions with Independent Model Validation, Internal Audit, and regulators, including support for model reviews, regulatory exams, impact studies, and remediation activities.
• Coordinate with Risk Technology and production teams to ensure accurate, timely, and well-controlled implementation of Risk Capital models into production systems.
• Direct and provide oversight on complex analytical issues, structure solutions, and drive effective resolution across Risk, Technology, Finance, and Business stakeholders.
• Serve as a senior advisor to Risk and business management on new initiatives, product changes, and strategic decisions involving Risk Capital methodologies.
• Maintain oversight of key model risks within Citi, ensuring they are effectively identified, measured, monitored, and controlled in line with the firm’s risk appetite and governance framework.
• Provide full management responsibility for multiple teams, including performance evaluation, compensation, hiring, disciplinary actions, succession planning, and budget approvals.
• Develop and retain deep quantitative talent, fostering a strong risk culture, technical excellence, and consistent execution across globally distributed teams.
• Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm’s reputation and safeguarding Citigroup, its clients, and assets. Drive compliance with applicable laws, rules, and regulations, adhere to policies, apply sound ethical judgment regarding personal conduct and business practices, and ensure transparency in identifying, escalating, managing, and reporting control issues. Effectively supervise the activities of others and create accountability where standards are not met.

What we’ll need from you:

• Typically 10+ years of experience in quantitative risk modeling, analytics, or finance within a large financial institution or equivalent environment.
• Demonstrated experience leading large, technically sophisticated quantitative teams and managing managers.
• Strong knowledge of Risk Capital frameworks, including credit, counterparty, market, and concentration risk, and related regulatory capital expectations.
• Advanced understanding of quantitative methods including statistical modeling, stochastic processes, numerical methods, and large‑scale simulation frameworks.
• Experience engaging with regulators, internal audit, and independent validation on model related matters.
• Proven ability to communicate complex quantitative concepts clearly to senior management and executive stakeholders.
• Bachelor’s degree required; Master’s or PhD in Mathematics, Statistics, Finance, Physics, Engineering, or a related quantitative discipline strongly preferred.

What we can offer you:

By joining Citi Solutions Centre Poland, you will not only be part of a business casual workplace with a hybrid working model (currently up to 2 days working at home per week), but also (potentially, subject to final offer) receive a competitive base salary and enjoy a whole host of additional benefits which can include:

• Employer paid Defined Contribution Pension Plan contribution of 6% of employee’s pensionable earnings (PPE Program)
• Employer paid Private Medical Care Package for employees and Private Medical Care Packages for certain family members available at preferential rates
• Employer paid Life Insurance Program for employees and Life Insurance for certain family members available at preferential rates
• Employee Assistance Program financed by Employer
• Paid Parental Leave Program (maternity and paternity leave; statutory and 2 weeks additional paid paternity leave)
• Sport Card for employees subsidised via Social Benefits Fund and Sport Cards for certain family members available at preferential rates
• Additional benefits from Company’s Social Benefit Fund, in particular: Holidays Allowance, support for sport and cultural activities, team building events.
• Additional day off for volunteering
• Cafeteria/ flex benefit – a company benefits system which enables employees to select and purchase benefits offered by a provider and available for employees on the platform.
• Opportunity to receive an annual discretionary incentive award
• Special offers and discounts for employees.

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. 

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

#LI-TM3

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Job Family Group:

Risk Management

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Job Family:

Model Development and Analytics

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Time Type:

Full time

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Primary Location Full Time Salary Range:

zł510,000.00 - zł1,280,000.00

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Most Relevant Skills

Analytical Thinking, Business Acumen, Constructive Debate, Data Analysis, Escalation Management, Policy and Procedure, Policy and Regulation, Risk Controls and Monitors, Risk Identification and Assessment, Statistics.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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Automated Processing and AI

We use automated processing, including artificial intelligence, for our legitimate business interests (or our reasonable and appropriate business purposes) to identify and align the candidate's skills and abilities with a specific job opening. Additionally, if you so choose, or consent, we can match your skills and abilities to other suitable roles at Citi.

Importantly, all our hiring processes and decisions, including determining your suitability for a role, are conducted, checked, and decided by individuals. Our automated processing and AI do not involve relying on automatic or autonomous decision-making. Please refer to any Jurisdictional Considerations, with specific provisions for your country (where relevant) for further details.

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This job opening is for an existing job vacancy.

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Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

 

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