The Position within Global Consumer Risk Management of Citi for CCAR/DFAST/CECL/Climate risk and other stress testing regulations for stress loss model development for the secured portfolios.

Core Responsibilities:
This position within Global Consumer Banking will develop CCAR/DFAST/Climate risk stress loss models for secured portfolios (e.g., Home Equity, Mortgage etc.). The responsibility includes but not limited to the following activities:

• Obtain and conduct QA/QC on all data required for stress loss model development

• Develop segment and/or account level stress loss models

• Perform all required tests (e.g. sensitivity and back-testing)

• Validate/recalibrate all models annually to incorporate latest data. Redevelop as needed.

• Deliver comprehensive model documentation

• Work closely with cross functional teams, including country/region’s business stakeholders, model validation and governance teams, and model implementation team

• Prepare responses/presentations for regulatory agencies on all regulatory models built

Education:
Advanced Degree (Masters required/preferred) in Statistics, Applied Mathematics, Operations Research, Statistics, Economics, Quantitative Finance etc
 

Skillset

• Role involves strong programming (Python, SAS, AI automation using advanced workflows etc) and quantitative analytics (regression, time series, decision tree, linear/nonlinear optimization etc) skill.

• 2+ years analytic experience

• Experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses

• Experience in model development or (risk/marketing)- credit scorecard development, Basel modeling, stress loss preferred or credit policy analytics

• Experience in end-to-end modeling process (data collection, data integrity QA/QC/reconcilements, pre-processing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, & model production implementation)

• Good communication skill to communicate technical information verbally and in writing to both technical and non-technical audiences

• Expected to work with moderate supervision and guidance

• Work as an individual contributor

Looking for a candidate with experience developing regression models for secured lending products combined with hands on experience designing AI-driven workflows to streamline and automate processes.

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Job Family Group:

Risk Management

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Job Family:

Model Development and Analytics

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Time Type:

Full time

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Most Relevant Skills

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

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Other Relevant Skills

Laws and Regulations, Management Reporting, Policy and Procedure, Referral and Escalation, Risk Controls and Monitors, Risk Identification and Assessment, Risk Remediation.

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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.

 

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