Stress Testing 2nd LOD Lead Analyst

• Support the ongoing delivery of ICAAP and Regulatory Stress Testing initiatives, including EBA Stress Test and ECB Thematic exercises, and coordinate with wider entity and risk management functions for the delivery of stress losses and risk capital across credit and climate risk.
• Support the development of climate risk stress testing modelling capabilities and specification of regulatory and management requirements.
• Coordinate with project work streams spanning scenario design, model methodologies, stress loss calculations, economic capital, and governance.
• Provide analytical support to risk specialists in developing stress testing capabilities, including further integration of stress testing in Risk Appetite and decision making across Citibank Legal Entities.
• Support the Regional Stress Testing team in evaluating Legal Entity Stress Testing risk controls and frameworks.
• Assess and respond to information requests from Central Bank of Ireland, European Central Bank, External Auditors and Internal Audit.
• Engage in continuous process improvement around existing stress testing and risk capital capabilities.

Key requirements:

• Extensive years of experience in financial services sector in roles requiring superior problem-solving analytical capabilities.
• Experience in a quantitative role at a financial institution in modelling, validation, usage and understanding of models used in ICAAP and/or EBA Stress Testing (e.g. IFRS9 ECL, PD, EAD, risk capital and concentration risk modelling).
• Extensive knowledge of the regulatory landscape in the EU.
• In-depth experience in stakeholder engagement and presenting to senior management through relevant committees and fora.
• Excellent written and verbal communication skills, with ability to synthesize complex technical information and explain it clearly.
• Good knowledge of model development and validation testing techniques covering risk or capital models, including practical experience using Python or similar statistical software and proficiency handling large data sets.
• Graduate degree and strong academic record in a quantitative discipline such as Finance, Econometrics, Mathematics, Physics, Data Science etc.
• Fluency in English is required.

Nice to have:

• Master or higher degrees are advantageous.
• Other qualifications such as Financial Risk Manager (FRM), Chartered Financial Analysts (CFA), Certificate in Quantitative Finance (CQF)