Participate in building champion/benchmark models for CCAR, CECL and other regulatory/internal purposes for Citi's U.S. secured portfolios.
Independently perform data cleansing and analysis, identify static and dynamic portfolio drivers and macroeconomic drivers for portfolio risk performances, build PD/EAD/LGD models and conducting statistical analysis and backtests, perform forecast sensitivity analysis and model robustness tests, and provide model implementation and validation support with minimal manager support.
Create and review 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
Effectively communicate model results to both technical and non-technical senior audience.

5+ years of experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, or econometric modeling and in-depth knowledge on the use of statistical models to solve business problems (years of experience in Master or PhD programs of Statistics, Economics, Finance, Biomedical Engineering or other highly quantitative discipline counts).
Experience of end-to-end credit risk modeling highly preferred.
Experience of CCAR and CECL preferred.
Strong programming (SAS, SQL, Python, R, etc.) and quantitative analytics (regression, time series, decision tree, linear/nonlinear optimization etc.) skills preferred.
Strong communication skills required to translate model design, specification and performance details to technical and non-technical audiences.

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Risk Model Development – Intermediate Analyst

Key skills