Quant jobs / Citi

Stress Testing and Model Risk Expert

A risk-modelling role that reviews and coordinates wholesale credit stress loss and capital models used for regulatory stress tests. It sits in Citi's enterprise risk and stress testing analytics group, working beside model developers and model risk teams.

What you’d work on

Our reading of the posting: what a new hire in this role would most likely spend their first months on.

Review the macroeconomic scenarios fed into wholesale credit stress loss models and check they suit the portfolio
Check CECL and IFRS 9 model outputs and the governance around management overlays
Write up validation findings as regulator-ready technical documentation
Quantify model limitations and propose compensating controls
Present results to senior management and model owners

What they ask for

Required

Stress testing and ICAAP frameworks
Wholesale credit risk loss and capital modelling
CECL and IFRS 9 methods
Macroeconomic scenario design
Model risk governance
Python or similar analytical language
Written and verbal communication

Preferred

Prior work with model development quant teams
Project management across several validations
GenAI tools for analysis

Education: Bachelor's degree or equivalent experience; a master's is possible
Experience: 6+ years in quantitative risk, model development or validation, stress testing or economic research
Languages and tools: Python
Markets: credit

How to prepare

Work through how PD, LGD and EAD feed into expected credit loss, then CECL and IFRS 9 provisioning
Build a small stress-testing exercise in Python that links macro scenarios to portfolio losses
Read the supervisory model risk guidance and practise writing a short validation memo
Learn how ICAAP and regulatory stress tests are structured

What to study

The Model Validation Quant roadmap sets out the stages for this kind of role, with free resources for each.

Open the roadmap

Apply

Read the full posting on Citi’s site before applying: requirements, location and pay can change after we check them.

View the posting on Citi’s site ↗

SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Citi and doesn’t handle applications.