Stress Testing and Model Risk Expert

Czym będziesz się zajmować?

Responsibilities:

• Coordinate preparation, execution and reporting of stress risk models across Citi, supporting ICAAP and regulatory stress tests.
• Assess wholesale credit risk stress loss and capital models, assumptions, implementation and macroeconomic drivers.
• Review macroeconomic scenarios against portfolio characteristics, methodologies and regulatory expectations.
• Review CECL and IFRS 9 outputs and overlay governance.
• Translate business requests into analytical criteria and test results against regulatory and industry standards.
• Document validation findings, quantify model risk and limitations, and inform compensating controls.
• Present recommendations to senior management and collaborate with model developers, scenario design and credit risk teams.

• Hybrid work, currently up to two days at home per week.
• Potential benefits include employer-funded pension contributions, private medical care and life insurance, a subsidised sport card and social fund support.
• Paid parental leave, a volunteering day, flexible benefits, employee discounts and a possible discretionary annual award.

• At least 6 years of experience in quantitative risk, model development or validation, stress testing, economic research or related financial services analytics.
• Strong understanding of ICAAP, regulatory stress testing, macroeconomic projections and scenario design.
• Experience assessing macroeconomic impacts on wholesale credit risk, expected credit losses and capital.
• Working knowledge of wholesale credit risk stress loss and capital modelling, CECL and IFRS 9.
• Understanding of model risk governance, change processes, limitations and remediation.
• Proficiency in Python or another statistical or analytical programming language.
• Strong written and verbal communication and ability to present findings to senior stakeholders.
• Bachelor’s degree or equivalent experience; potentially a master’s degree.

• Experience working directly with model development and model risk teams.
• Comfort using GenAI tools for analytical and productivity tasks.
• Strong project management and organisational skills; ability to manage multiple validations.
• Proactive, self-directed problem-solving.

• Modelowanie Scenariuszy Stresowych
• Zarządzanie Ryzykiem
• Zarządzanie Ryzykiem Kredytowym
• ICAAP
• Prognozowanie makroekonomiczne
• Nadzór nad modelami
• Python
• Komunikacja

• Modelowanie strat kredytowych
• Modelowanie kapitału
• CECL
• IFRS 9

• Polski
• Angielski

• 20.1k–34.3k PLN brutto/m (Umowa o pracę)
• Umowa o pracę - Elastyczne godziny pracy (100%)
• Praca zdalna: Hybrydowo
• Pakiet medyczny, Ubezpieczenie, Pakiet sportowy

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