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.