Risk Model Development - Analyst II

<p>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. </p><p><br /><br />This position within Global Consumer Banking will develop CCAR/DFAST/Climate risk stress loss models for secured portfolios (, Home Equity, Mortgage etc.). The responsibility includes but not limited to the following activities: </p><li><p>Obtain and conduct QA/QC on all data required for stress loss model development </p> </li><li><p>Develop segment and/or account level stress loss models </p> </li><li><p>Perform all required tests ( sensitivity and back-testing) </p> </li><li><p>Validate/recalibrate all models annually to incorporate latest data. Redevelop as needed. </p> </li><li><p>Deliver comprehensive model documentation </p> </li><li><p>Work closely with cross functional teams, including country/region’s business stakeholders, model validation and governance teams, and model implementation team </p> </li><li><p>Prepare responses/presentations for regulatory agencies on all regulatory models built </p> </li><p><br /><br />Advanced Degree (Masters required/preferred) in Statistics, Applied Mathematics, Operations Research, Statistics, Economics, Quantitative Finance etc<br />  </p><li><p>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. </p> </li><li><p>2+ years analytic experience </p> </li><li><p>Experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses </p> </li><li><p>Experience in model development or (risk/marketing)- credit scorecard development, Basel modeling, stress loss preferred or credit policy analytics </p> </li><li><p>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, &amp; model production implementation) </p> </li><li><p>Good communication skill to communicate technical information verbally and in writing to both technical and non-technical audiences </p> </li><li><p>Expected to work with moderate supervision and guidance </p> </li><li><p>Work as an individual contributor </p> </li><p>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. </p><p>------------------------------------------------------ </p><p></p><p><b><b>Job Family Group: </b> </b> </p> <p></p>Risk Management<p>------------------------------------------------------ </p><p></p><p><b><b>Job Family: </b> </b> </p> <p></p>Model Development and Analytics<p>------------------------------------------------------ </p><p></p><p><b><b>Time Type: </b> </b> </p> <p></p>Full time<p>------------------------------------------------------ </p><p></p><p><b><b>Most Relevant Skills </b> </b> </p> <p></p>Analytical Thinking, Credible Challenge, Data Analysis, Governance, Policy, Procedure, and Regulation, Risk Management Lifecycle.<p>------------------------------------------------------ </p><p></p><p><b><b>Other Relevant Skills </b> </b> </p> <p></p>Laws and Regulations, Management Reporting, Policy and Procedure, Referral and Escalation, Risk Controls and Monitors, Risk Identification and Assessment, Risk Remediation.<p>------------------------------------------------------ </p>