ROLE
– Participate in building champion/benchmark models for CCAR, CECL, IFRS9, climate risk, and other regulatory/internal purposes for Citi’s international and U.S. secured portfolios
– Perform data cleansing and analysis, identify static and dynamic portfolio drivers and macroeconomic drivers for portfolio risk performances
– Build PD/EAD/LGD models and conduct statistical analysis and backtests
– Perform forecast sensitivity analysis and model robustness tests
– Provide model implementation and validation support
– Create Model Development Document for validation and supporting Annual Model Reviews and Ongoing Performance Assessment of implemented models
– Participate in model revalidation, model change and related documentation and validation support efforts
– Ensure timely completion of assigned projects with high quality
– Work closely with cross functional teams, including country/region’s business stakeholders, model validation and governance teams, and model implementation team
– Prepare responses/presentations to regulatory agencies on all CCAR/CECL/IFRS9/Climate models built

REQUIREMENTS
– 2+ years of experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, or econometric modeling
– In-depth knowledge on the use of statistical models to solve business problems
– Past experience of climate risk stress testing or catastrophe modeling preferred
– Experience of end-to-end credit risk modeling highly preferred
– Experience of CCAR and CECL preferred
– Strong communication skills required to translate model design, specification and performance details to technical and non-technical audiences
– Master’s/University degree or equivalent experience in Economics, Mathematics, Statistics, Finance of other quantitative discipline
– PhD degree in Statistics, Economics, Finance, Biomedical Engineering or other quantitative discipline preferred