Risk Model Development - Analyst II
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. ------------------------------------------------------ Job Family Group: Risk Management ------------------------------------------------------ Job Family: Model Development and Analytics ------------------------------------------------------ Time Type: Full time ------------------------------------------------------ Most Relevant Skills Analytical Thinking, Credible Challenge, Data Analysis, Governance, Policy, Procedure, and Regulation, Risk Management Lifecycle. ------------------------------------------------------ Other Relevant Skills Laws and Regulations, Management Reporting, Policy and Procedure, Referral and Escalation, Risk Controls and Monitors, Risk Identification and Assessment, Risk Remediation. ------------------------------------------------------ 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.
If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi . View Citi’s EEO Policy Statement and the Know Your Rights poster.