Stress Testing and Model Risk Expert

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

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.

Benefits and work arrangements:

• 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.

Kogo poszukujemy?

Key requirements:

• 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.

Beneficial qualifications:

• 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.