The Credit, Climate, and Obligor Risk Analytics (CORA) group within Citi is looking to add an experienced quantitative analyst lead to join the Loss Given Default team. The team is responsible for development of the credit risk loss given default models used for Basel, stress-testing, loss reserves for Citi’s wholesale credit portfolios. This is a highly visible individual contributor position within the organization, covering a wide range of responsibilities to support risk management of global wholesale credit portfolios. The successful candidate will be a part of highly productive analytical team and will be involved in all aspects of the model development process (research and development, implementation, monitoring, validation), which includes interaction with Business, Risk, Finance, Model Validation, Internal and External Audit and Regulators.

QUALIFICATIONS:

• 3+ years of experience in quantitative financial modeling. Hands-on experience with the research, development, validation and implementation of credit risk models.
• Experience in credit risk parameter Loss Given Default modeling and/or validation. Sound knowledge and understanding of a variety of model development methodologies and industry best practices.
• Proficiency in working with large data sets and data pulls from relational databases.
• Knowledge of wholesale credit products and financial markets at a financial institution.
• Knowledge of bank stress testing and loss reserves for wholesale credit portfolios for CECL and CCAR or global IFRS9/ICAAP calculation is a plus.
• Strong programming skills in Python, R or other advanced programming languages. Knowledge of git and GitHub/bitbucket is a must.
• Self-motivated and detail oriented.
• Demonstrated project management and organizational skills and capability to handle multiple projects simultaneously.
• Excellent communication skills, verbal as well as written.

EDUCATION:

• Master or PhD degree in Mathematics, Physics, Computer Science, Econometrics, Statistics, Engineering or another quantitative field is required.
• Bachelor’s degree with 5+ years of experience.
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MOST RELEVANT SKILLS

Analytical Thinking, Business Acumen, Constructive Debate, Data Analysis, Escalation Management, Policy and Procedure, Policy and Regulation, Risk Controls and Monitors, Risk Identification and Assessment, Statistics.
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OTHER RELEVANT SKILLS

For complementary skills, please see above and/or contact the recruiter.
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• Research, develop, and maintain advanced scenario-based loss severity models for wholesale credit portfolios for Basel, stress-testing (CCAR, ICAAP), reserves (CECL, IFRS9).
• Develop quantitative methodologies, algorithms, and tools for model development as well as for testing of models’ robustness, stability, and overall performance.
• Conduct reliability analyses and perform quality control of modeling data and model results.
• Manage model risk across the entire model life-cycle, including model development, model validation, ongoing performance assessment, and annual model reviews.
• Create and maintain technical documentation for modeling methodologies and applications, including project plans, model descriptions, mathematical derivations, data analyses, processes, and quality controls.
• Implement financial quantitative analytical tools and support model migration to the production environment.
• Liaise with business risk managers, clients and partners in the analysis and interpretation of model results, incorporating their feedback as appropriate.
• Manage stakeholder interaction with model developers and business owners throughout the model life-cycle.
• Prepare and deliver training materials, presentations, and reports on credit risk analytics for technical and non-technical audiences.
• Provide leadership and guidance for junior modelers.
• 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.
• Effective cross-functional project, resource, and stakeholder management; effectively engage with internal audit and external regulators.
• Actively engage across all model development teams within CORA.