Macroeconomic Stress Tests Expert

Macroeconomic Stress Tests Expert will join Global ICAAP Scenario Design and Expansion team. The team is responsible for design of hypothetical stress scenarios that are used for ICAAP purposes by Citi Legal Entities across the world. Successful candidate will play a key role in: design of stress scenarios that capture key risks identified for specific Legal Entity, preparation of decks/reports about these scenarios, expanding scenarios from handful of core variables to a large set of macroeconomic and financial variables.

Apart from ICAAP stress scenarios the team provides support for other regulatory-prescribed stress test exercises for Legal Entities around the world. Last but not least Macroeconomic Stress Tests Expert will be responsible for a proper documentation and validation of models and methods used in the process of designing and expanding scenarios to comply with internal policies and procedures. Successful candidate will manage model development, model documentation and ongoing model maintenance, data quality controls, oversight, and reviews.

This role also collaborates with other Risk functions, several line of businesses and Finance. The team is part of the Enterprise Scenario Design team within Enterprise Risk Management. ESD is responsible for designing macro-economic and market shock scenarios for all enterprise level stress testing, capital planning, and reserve adequacy usages.

What you will be doing

• Participate in the end-to-end process of macroeconomic scenario design and expansion for ICAAP and regulatory purposes. These include among others: conducting research to propose a range of possible scenario concepts, preparing scenario narratives, and forecasting economic and financial time series under these hypothetical scenarios
• Develop/maintain models that expand stress paths of core variables to all other variables required by stress loss models
• Document and validate models as well as perform ongoing model maintenance to comply with the model risk management policies and procedures
• Monitor model output, perform ad-hoc analysis as needed: address model limitations, etc.
• Communicate the model forecasts and stress scenarios to the key stakeholders and support them in assessing their implications
• Monitoring economic activity, monetary policy, and fiscal policy in specific region(s)

What we need from you

• Significant experience in economic research, model development, as well as forecasting economic and financial variables
• Familiarity with the stress testing programs governance framework (model risk management, ICAAP)
• Familiarity with Python or R programming languages 
• Previous experience in a role requiring presenting the data visually to senior management and stakeholders
• Background in graduate level time series analysis, macroeconomics, and financial markets.
• Excellent verbal and written communication skills
• Master’s degree in Economics, Econometrics, Statistics, Quantitative Methods or equivalent

What we offer

• Working in an international environment in one of the greatest financial institutions worldwide
• An enjoyable and challenging learning path, which leads to a deep understanding of Citi’s products and services
• Competitive salary and social benefits (medical care, multisport, life insurance, award-winning pension plan, holiday allowance, hybrid work model, paternity/maternity scheme, award/recognition system, very lucrative employee referral program, and other)
• Consideration for a yearly bonus
• International projects in a culturally diverse and dynamic environment as well as learning top quality organizational culture
• A supportive workplace for professionals returning to the office from childcare leave
• Abundance of internal job opportunities locally and globally

#LI-RG6

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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