ICAAP Model Development Vice President

Are you looking for a career move that will put you at the heart of a leading financial institution? Then bring your skills in model development, problem solving and communication to Citi’s Central ICAAP Model Development Team.

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

Team/Role Overview

You will be joining the Central ICAAP Team within the Finance Department that leads the way in setting the ICAAP framework and standards by enhancing existing processes and controls, encouraging automation, and establishing best practice modelling.

Your closer team, the ICAAP Model Development sub-team, works on the development of new methodologies for Citi’s material Legal Entities in Europe and the UK to forecast EADs and RWAs for ICAAP purposes under the Basel 3.1 Standardized Approach, as well as a Central Financial Forecast model for a set of non-material Legal Entities in Europe, Middle East and Africa.

What you’ll do

• Work on the development of new models as specified above, specifically:

  • Design the methodology in cooperation with stakeholders in Risk and Finance

  • Specify the technical details in a Business Requirement Document,

  • Work together with Technology on the technical implementation of the model

  • Design and conclude User Acceptance Testing

  • Run development tests, create model documentation, prepare the model for validation

  • Defend the model in validation

• Maintain the models after going live:

  • Support the production for ICAAP and stress testing

  • Prepare the models for regular and ad-hoc validation exercises, like re-validation, annual model review, ongoing performance assessment, model change reviews and limitation remediations

• Identify new areas for model development and process automation

• Establish standardised approaches and best practice modelling

What we’ll need from you

• Master’s degree in a quantitative subject

• 6+ years of work experience in a model development or validation role within a financial institution

• Fluent English language skills

• Structured approach to problem solving, strong communication

• Good interpersonal skills, ability to manage stakeholders

• The following skills would be useful:

  • Experience with time series forecasting

  • Programming experience in any of the following languages: Python, R, VBA, KNIME, to create dummy model implementations for preliminary testing or to modify in existing codes

  • Understanding of capital, capital buffers and a bank’s balance sheet

  • Experience with ICAAP and stress testing

What we can offer you

By joining Citi Hungary, 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 compensation package and enjoy a whole host of additional benefits that support you (and your family) to be well, live well and save well:

• Cafeteria Program

• Home Office Allowance (for colleagues working in hybrid work models)

• Paid Parental Leave Program (maternity and paternity leave)

• Private Medical Care Program and onsite medical rooms at our offices

• Pension Plan Contribution to voluntary pension fund

• Group Life Insurance

• Employee Assistance Program

• Access to a wide variety of learning and development programs, online course libraries and upskilling platforms, such as Udemy and Degreed

• Flexible work arrangements to support you in managing work - life balance

• Career progression opportunities across geographies and business lines

• Socially active employee communities with diverse networking opportunities

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.

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