ROLE
– Participate in building champion/benchmark models for climate risk stress testing 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.

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.
– PhD degree in Statistics, Economics, Finance, Biomedical Engineering or other quantitative discipline preferred.