Macroeconomic Stress Tests Expert
The Macroeconomic Stress Tests Expert will join the Global ICAAP Scenario Design and Expansion team, responsible for designing hypothetical stress scenarios used by Citi Legal Entities worldwide.
This role involves playing a key part in designing stress scenarios that capture identified risks for specific Legal Entities, preparing decks/reports on these scenarios, and expanding scenarios from core variables to macroeconomic and financial variables.
Apart from ICAAP stress scenarios, the team supports other regulatory-prescribed stress test exercises for Legal Entities globally. The Macroeconomic Stress Tests Expert will also be responsible for proper documentation and validation of models and methods used in designing and expanding scenarios, ensuring compliance with internal policies and procedures.
This role collaborates with other Risk functions, lines of business, and Finance. The team is part of the Enterprise Scenario Design team within Enterprise Risk Management, responsible for designing macro-economic and market shock scenarios for all enterprise-level stress testing, capital planning, and reserve adequacy usages.
Key Responsibilities:
* Participate in the end-to-end process of macroeconomic scenario design and expansion for ICAAP and regulatory purposes, including conducting research, preparing scenario narratives, and forecasting economic and financial time series under hypothetical scenarios.
* Develop/maintain models that expand stress paths of core variables to all other required variables.
* Document and validate models, perform ongoing model maintenance to comply with model risk management policies and procedures.
* Monitor model output, perform ad-hoc analysis as needed, addressing model limitations, etc.
* Communicate model forecasts and stress scenarios to stakeholders, supporting them in assessing implications.
* Monitor economic activity, monetary policy, and fiscal policy in specific regions.
Requirements:
* Significant experience in economic research, model development, and forecasting economic and financial variables.
* Familiarity with stress testing programs governance framework (model risk management, ICAAP).
* Familiarity with Python or R programming languages.
* Previous experience presenting 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:
* An international environment in one of the world's greatest financial institutions.
* An enjoyable and challenging learning path, providing 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, employee referral program, and others).
* Consideration for a yearly bonus.
* International projects in a culturally diverse and dynamic environment, with top-quality organizational culture.
* A supportive workplace for professionals returning to the office from childcare leave.
* Abundance of internal job opportunities locally and globally.