Stress Testing and Model Risk Expert

Citi; Województwo mazowieckie; Hybrid; PLN 242,000 - 412,000; Full time

Benefits offered by this job

Pension plan 6%

Private medical care

Life insurance

Parental leave program

Sport card

Flexible cafeteria benefits

Annual discretionary incentive

Job summary

Citi Solutions Center Poland seeks a Stress Testing and Model Risk Expert to coordinate execution prep and reporting of stress risk models across Citi. You will support ICAAP and regulatory stress testing from methodology through to final results, partnering with Model Development Quant teams and Model Risk colleagues.

The role focuses on wholesale credit risk stress loss and capital modelling, with a hybrid work model and competitive base salary plus benefits.

Qualifications

• 6+ years in quantitative risk or related analytical roles within financial services.
• Strong understanding of ICAAP and regulatory stress testing frameworks.
• Experience with macroeconomic projections and scenario design.

Responsibilities

• Build expertise on Wholesale Credit Risk stress loss and capital models.
• Review macroeconomic scenarios and align with regulatory expectations.
• Assess CECL and IFRS9 outputs and governance overlays.
• Translate requests into data criteria and test results against standards.
• Document validation findings for regulatory guidelines.
• Quantify model risk and inform stakeholders on limitations.
• Present results to senior management.
• Collaborate with model developers and risk teams.

Skills

6+ years experience

ICAAP & stress testing

macroeconomic projections

Wholesale Credit Risk

CECL & IFRS9 modelling

model risk framework

Python

communication skills

Education

Bachelor's degree

Tools

Python

Job description

As a Stress Testing and Model Risk Expert, you will coordinate services regarding execution preparation and reporting of the stress risk models across Citi, giving senior stakeholders and regulators confidence in the numbers that guide major business decisions. Sitting within DART – Enterprise Risk & Stress Testing Reporting and Analytics, this role focuses on Wholesale Credit Risk stress loss and capital modelling, supporting ICAAP and regulatory stress testing from methodology through to final results. You will work closely with Model Development Quant teams and Model Risk colleagues, bringing a strong analytical mindset and modern tooling to a function that is central to how Citi manages its risk profile.

Key Responsibilities

• Build expertise on Wholesale Credit Risk stress loss and capital models, assessing assumptions, methodology formulation, implementation, and underlying macroeconomic drivers.
• Review projected macroeconomic scenarios used in stress testing exercises, assessing their appropriateness for wholesale portfolio characteristics in combination with stress loss methodology , and alignment with regulatory expectations.
• Review CECL and IFRS9 modelling outputs and assess the quality of overlay governance work.
• Translate business requests into clear data and analytical criteria, then test expected results against regulatory and industry standards.
• Package validation findings into detailed technical documentation that meets regulatory guidelines.
• Assess model limitations and quantify model risk, informing stakeholders and shaping compensating controls.
• Present results and recommendations to senior management
• Periodic interactions with model developers, scenario design teams, and wholesale credit risk stakeholders.

Required Qualifications & Skills

• Minimum 6 years of experience in quantitative risk, model development, model validation, stress testing, economic research, or related analytical roles within financial services.
• Strong understanding of ICAAP, regulatory stress testing frameworks, and macroeconomic projections and scenario design.
• Experience assessing the impact of macroeconomic variables on wholesale credit risk implications such as expected credit loss and credit capital assessment.
• Working knowledge of Wholesale Credit Risk stress loss and capital modelling approaches.
• Working knowledge of CECL and IFRS9 modelling approaches.
• Understanding of model risk frameworks, including model governance, model change processes, limitations, and remediation activities.
• Proficiency in Python or another statistical or analytical programming language.
• Strong written and verbal communication skills, with the ability to present complex analytical findings to senior stakeholders.

Beneficial Skills & Qualifications

• Prior experience collaborating directly with Model Development Quant teams and Model Risk teams.
• Comfort using GenAI tools to support analytical and productivity tasks.
• Strong project management and organizational skills, with the ability to manage multiple validation projects at once.
• A proactive, self-directed approach to problem-solving in a high-autonomy environment.

Education:

• Bachelor’s/University degree or equivalent experience, potentially Masters degree

By joining Citi Solutions Center Poland, you will not only be part of a business casual workplace with a hybrid working model (currently up to 2 days working at home per week), but also (potentially, subject to final offer) receive a competitive base salary and enjoy a whole host of additional benefits which can include:

• Employer paid Defined Contribution Pension Plan contribution of 6% of employee’s pensionable earnings (PPE Program)
• Employer paid Private Medical Care Package for employees and Private Medical Care Packages for certain family members available at preferential rates
• Employer paid Life Insurance Program for employees and Life Insurance for certain family members available at preferential rates
• Employee Assistance Program financed by Employer Paid Parental Leave Program (maternity and paternity leave; statutory and 2 weeks additional paid paternity leave
• Sport Card for employees subsidised via Social Benefits Fund and Sport Cards for certain family members available at preferential rates
• Additional benefits from Company’s Social Benefit Fund, in particular: Holidays Allowance, support for sport and cultural activities, team building events.
• Additional day off for volunteering
• Cafeteria/ flex benefit – a company benefits system which enables employees to select and purchase benefits offered by a provider and available for employees on the platform.
• Opportunity to receive an annual discretionary incentive award
• Special offers and discounts for employees

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.

Copy and paste the URL below into a new tab on your web browser to view the Remuneration Regulations extract: https://tbcdn.talentbrew.com/company/287/cms/v3/docs/policies/RemunerationRegulations-KeyProvisions-CitibankEurope_plc_05012025_A.pdf

Job Family Group

Risk Management

Job Family

Model Development and Analytics

Time Type

Full time

Primary Location Full Time Salary Range

241 750,00 zł - 411 650,00 zł

Most Relevant Skills

Analytical Thinking, Credible Challenge, Data Analysis, Governance, Policy, Procedure, and Regulation, Risk Management Lifecycle.

Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review.

Accessibility at Citi.

View Citi’s EEO Policy Statement and the Know Your Rights poster.