Model Analysis and Validation Officer

The Model Risk & Validation Officer is a strategic professional who stays abreast of developments within own field and contributes to directional strategy by considering their application in own job and the business. Recognized technical authority for an area within the business. Requires basic commercial awareness. There are typically multiple people within the business that provide the same level of subject matter expertise.

Developed communication and diplomacy skills are required in order to guide, influence and convince others, in particular colleagues in other areas and occasional external customers. Significant impact on the area through complex deliverables. Provides advice and counsel related to the technology or operations of the business. Work impacts an entire area, which eventually affects the overall performance and effectiveness of the sub-function/job family.

Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behaviour, conduct and business practices, and escalating, managing and reporting control issues with transparency.

What you will be doing

• Develops, enhances, and validates the methods of measuring and analysing risk, for all risk types including market, credit and operational. Also, may develop, validate and strategize uses of scoring models and scoring model related policies
• Manages model risk across the model life cycle including model development, model validation, ongoing performance evaluation and annual model review.
• Produces analytics and reporting used to manage risk for Citi's operations
• Translates operational requests from the business into programming and data criteria and conduct systems and operational research in order to model expected results
• Assists in the development of analytic engines for business product lines
• Communicates results to diverse audiences
• Conducts analysis and packages it into detailed technical documentation report for validation purposes sufficient to meet regulatory guidelines and exceed industry standards
• Participates on teams to solve business problems
• Identifies modelling opportunities that yield measurable business results
• Provides guidance to junior validators as and when necessary
• Manages stakeholder interaction with model developers and business owners during the model life cycle
• Represents the bank in interactions with regulatory agencies, as required
• Presents model validation findings to senior management and supervisory authorities
• Provides effective challenge to model assumptions, mathematical formulation, and implementation
• Assesses and quantifies model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls
• Contributes to strategic, cross-functional initiatives within the model risk organization

What we need from you

• Proven track record of success operating as a Model Risk & Validation Officer
• Practical experience using SAS, R or similar statistical coding software to build and test prediction models
• Comfortable interfacing with business clients. proficiency handling very large data sets
• Proficient in Python programming and object-oriented programming concepts
• Consistently demonstrates clear and concise written and verbal communication skills
• Knowledge of Git or other code repositories
• Self-motivated and detail oriented
• Demonstrated project management and organizational skills and capability to handle multiple projects at one time
• Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation
• Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models
• Master's degree with 5-10 years' experience or a PhD in a quantitative field

What we offer

By joining Citi Solutions Centre Poland, 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:

• Private Medical Care Program
• Life Insurance Program
• Pension Plan contribution (PPE Program)
• Employee Assistance Program
• Paid Parental Leave Program (maternity and paternity leave) 
• Sports Card
• Holidays Allowance
• Sport and team recreation activities
• Exclusive offers and discounts for employees
• Access to an array of learning and development resources 
• A discretional annual performance related bonus
• A chance to make a difference with various affinity networks and charity initiatives

Citi’s Credit, Climate and Obligor Risk CORA) team is responsible for covering enterprise-wide model development for wholesale credit and climate risk. CORA develops Basel III regulatory capital parameters, models for Global Systemic Stress Test (GSST), CCAR, ICAAP, CECL and IFRS9 credit reserves, risk rating models, RWA stress testing, and climate risk models for transition and physical risks. CORA also provides the review and approval of Risk Rating Processes. This role will be initially responsible for developing the new generation of models in the area of Exposure at Default (EAD) models. They will be a part of a team of 6 Quantitative Analysts who are highly innovative. This group has introduced new techniques in analytics and programing and will continue to do so.