Senior Stress Testing & Model Risk Lead

Solid Company; Warszawa; Hybrid; PLN 240,000 - 480,000; Full time

Benefits offered by this job

Hybrid work

Pension contributions

Private medical care

Life insurance

Sport card

Social fund support

Parental leave

Volunteering day

Flexible benefits

Employee discounts

Discretionary annual award

Job summary

Solid Company in Warsaw seeks a senior quantitative risk professional to lead and validate stress risk models for Citi, supporting ICAAP and regulatory stress tests. The role involves assessing wholesale credit risk stress loss, capital models, and macroeconomic drivers, and translating business requests into analytical criteria.

You will review macroeconomic scenarios, CECL and IFRS 9 outputs, governance, and present findings to senior management, collaborating with model developers and risk

Qualifications

• At least 6 years of experience in quantitative risk, model development or validation, stress testing, economic research or related financial services analytics.

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.

Job description

Solid Company in Warsaw seeks a senior quantitative risk professional to lead and validate stress risk models for Citi, supporting ICAAP and regulatory stress tests. The role involves assessing wholesale credit risk stress loss, capital models, and macroeconomic drivers, and translating business requests into analytical criteria.

You will review macroeconomic scenarios, CECL and IFRS 9 outputs, governance, and present findings to senior management, collaborating with model developers and risk