Climate Risk Modeling Lead, Senior Vice President

Role Overview

• Lead the RRE climate modeling team to quantify physical risks for Citi's international and U.S. residential mortgage portfolios
• Responsibilities include developing, enhancing, and validating vendor and/or in-house climate models including catastrophe models and global scoring models
• Advise senior leadership on state of art climate modeling methodology, industry data source, public resources, and vendor/public models for regulatory and/or internal climate exercises
• Collaborate with external vendors and internal Second Line of Defense (2LOD) and Third Line of Defense (3LOD) on the selection and sourcing of hazard, exposure, vulnerability, and on the design and implementation of climate risk assessment features and products
• Support climate risk adaptation of Citi in house credit loss forecasting models for climate risk stress test and climate risk monitoring
• Lead data analysis, statistical analysis and back-tests, forecast sensitivity analysis and model robustness tests, preparation of model documentation
• Provide model implementation and validation support on development, validation, and ongoing assessment
• Ensure timely completion of assigned projects with high quality
• Work effectively in cross-functional teams, interacting with key stakeholders regularly to update progress, gather feedback and perform required analytics
• Create impactful presentations to communicate analytical findings to a wide array of audiences that will facilitate understanding of model performance and usage
• Interact with senior levels of management to facilitate understanding of usage of risk models and inform critical decisions
• Appropriately assess risk when business decisions are made, demonstrating 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

Requirements

• In-depth knowledge of industry and academic climate modeling methodology, climate data sources, vendor/open-source climate models
• 3+ years of climate risk stress testing or catastrophe modeling required
• 10+ years’ experience (6+ years' experience if PhD in Meteorology, Climatology, Atmospheric Sciences, or a highly quantitative discipline)
• Deep knowledge of the mortgage business preferred
• Familiarity with the application of statistical modeling concepts in addressing International and US risk modeling needs preferred
• Advanced knowledge of SAS/SQL, STATA, PYTHON, R or C programming
• 5+ years of SAS experience highly preferred
• Strong communication skills required to translate model design, specification and performance details to technical and non-technical audiences

Tech Stack

• Python
• SQL

Benefits

• medical, dental & vision coverage
• 401(k)
• life, accident, and disability insurance
• wellness programs
• paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays