AVP- Risk Model Development- Climate Risk- C12

• The Model/Anlys/Valid Sr Analyst is a seasoned professional role. Applies in-depth disciplinary knowledge, contributing to the development of new techniques and the improvement of processes and work-flow for the area or function. Integrates subject matter and industry expertise within a defined area. Requires in-depth understanding of how areas collectively integrate within the sub-function as well as coordinate and contribute to the objectives of the function and overall business. Evaluates moderately complex and variable issues with substantial potential impact, where development of an approach/taking of an action involves weighing various alternatives and balancing potentially conflicting situations using multiple sources of information. Requires good analytical skills in order to filter, prioritize and validate potentially complex and dynamic material from multiple sources. Strong communication and diplomacy skills are required. Regularly assumes informal/formal leadership role within teams. Involved in coaching and training of new recruits
• Significant impact in terms of project size, geography, etc. by influencing decisions through advice, counsel and/or facilitating services to others in area of specialization. Work and performance of all teams in the area are directly affected by the performance of the individual.
• This is a climate risk specialized role
  
  
  
  
• Responsibilities:
  • Develops, enhances, and validates the methods of measuring and analyzing risk, for all risk types including market, credit and operational. Also, may develop, validate and strategize uses of scoring models and scoring model related policies.
  • Conducts statistical analysis for risk related projects and data modeling/validation.
  • Applies quantitative and qualitative data analysis methods including SAS programming, Structured Query Language (SQL) to extract, transform and analyze data and Visual Basic programming language.
  • Prepares statistical and non-statistical data exploration, validate data, identify data quality issues.
  • Conducts data analysis, data mining, read and create formal statistical documentation, reports and work with Technology to address issues.
  • Analyzes and interprets data reports, make recommendations addressing business needs.
  • Uses Predictive modeling methods, Optimizing monitoring systems, document optimization solutions, and present results to non-technical audiences; create formal documentation using statistical vocabulary.
  • Generates statistical models to improve methods of obtaining and evaluating quantitative and qualitative data and identify relationships and trends in data and factors affecting research results.
  • Validates assumptions; escalate identified risks and sensitive areas in methodology and process.
  • Automates data extraction and data preprocessing tasks, perform ad hoc data analyses, design and maintain complex data manipulation processes, and provide documentation and presentations.
  • Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.
  Qualifications:
  • 7+ years experience
  • Proficient in Microsoft Office with an emphasis on MS Excel
  • Consistently demonstrates clear and concise written and verbal communication skills
  • Self-motivated and detail oriented
  • Demonstrated project management and organizational skills and capability to handle multiple projects at one time
  Education:
  • Bachelor’s/University degree or equivalent experience

Business/ Dept.Objectives:

Positions within USPB Risk Management of Citi for CCAR/CECL/IFRS9/Climate stress loss model development for the US and International portfolios.

Core Responsibilities:

This position within Global Consumer Banking will develop CCAR/CECL/IFRS9/Climate stress loss models for secured portfolios (e.g., Mortgage Loans 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 (Bachelors required, Masters or PhD preferred) in Statistics, Applied Mathematics, Operations Research, Statistics, Economics, Quantitative Finance etc. MBA s should apply only if they are interested in career in specialized quantitative risk management discipline.

Skillset

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

• 7+ years analytics 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 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)

• At least 4 years’ experience in credit scorecard or loss forecasting model (Basel, CCAR etc) development.

• At least 4 years’ Experience in working for developed markets (US/international)

• Manage projects independently.

• Experience in climate risk modelling is a big plus.

• Ability to manage work in cross functional teams, including country/region’s business stakeholders, model validation and governance teams, and model implementation team

• Effectively communicate model results to both technical and non-technical senior audience.

• Present model results with over-sight  for approvals

• Good understanding of regulatory requirements

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