Models Validation Expert Models Validation Expert …

Citi
in Warsaw, Mazowieckie, Poland
Permanent, Full time
Be the first to apply
Competitive
Citi
in Warsaw, Mazowieckie, Poland
Permanent, Full time
Be the first to apply
Competitive
Models Validation Expert
Description
Model Validation Bureau constitutes  fundamental pillar of an model risk management process in the bank providing effective challenge on the model functioning in the organization and establishing the major rules and guidelines in model risk area. Unit directly reports to the Vice President of the Management Board responsible for risk management at Bank Handlowy. The major responsibility of the bureau is to  assess soundness and  quality of models' performance ( technically and functionally)  at each of step of the model risk cycle. Apart from the conducting implementation and periodical validations of the models, Bureau provides oversight on the ongoing model monitoring processes and has sole responsibility for formulating the recommendations and action plans to mitigate identified model limitations
Responsiblities
  • Conducting independent validation of credit risk models and models used for  pricing/valuation of financial instruments
  • Preparation of comprehensive validation reports including assessment of model conceptual soundness,  description of model performance testing outcomes  and  recommendations/ action plans formulated to eliminate model limitations
  • Preparation and maintenance of programming codes  and creating, maintaining and developing analytical tools and databases to strengthen  an effectiveness of model validation processes
  • Preparing and providing with presentations and other relevant materials and information in model validation area to Management of Board, CRO and  respective Committees in the bank
  • Effective collaboration with all stakeholders and provide effective challenge at each of steps of model risk management cycles ( model development, implementation, use, monitoring, reporting)
Qualifications
  • Master degree in a quantitative discipline (mathematics/physics/econometrics/finical engineering) )
  • Minimum three years' experience in validating or developing  credit risk models ( loan loss provisioning, PD, LGD, CCF) or financial instrument's pricing models
  • Strong knowledge on and extensive programming experience in SAS / SQL , experience with coding in Python / C ++
  • Proficiency with MS Office package (Word, Excel, Access, Visio, PowerPoint)
  • Knowledge of English, allowing for verbal and written communication (preparation of technical documentation, contact with English-speaking colleagues)
  • Excellent mathematical ability with a strong background in stochastic calculus,  numerical algorithms and statistical modeling
  • Ability to apply quantitative techniques to solve practical problems and formulate clear findings and conclusion and ability to work under pressure
What do we offer
  • Occasion to develop in dynamic and challenging, but still very friendly, work environment
  • Opportunity to work in cooperation with qualified Polish and foreign specialists from various areas of the Bank
  • Stable full-time employment and attractive salary
  • Rich social package (including medical care, fitness card, life insurance, additional pension insurance)
The role of the Models Validation Expert is located at Bank Handlowy S.A. in Warsaw: https://www.citi.com/Careers/policies/pdf/BankHandlowyPolandPrivacyNotice.pdf
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