Citi is looking to develop and implement models to assess the impact of climate change on its portfolios, activities, and clients, including stress testing methodologies and integration of business/net-zero strategies.
Requirements
- Hands-on experience in model development and data science.
- Experience in climate risk, credit risk, industry frameworks, and regulatory stress testing preferred.
- Ability to apply sophisticated mathematical/analytical techniques to solve real-world problems.
- Proficient in Python in a Linux environment
- Deep understanding of climate change, advanced modeling techniques, model validation, and relevant quantitative methodologies highly desired
- Experience with statistical techniques and data analysis
- Familiarity with risk management frameworks and regulatory requirements
Responsibilities
- Develop climate risk models for credit assessment and stress testing, focusing on portfolio credit loss estimations.
- Translate climate scenarios (regulatory and internal) into quantifiable impacts for stress loss calculations, including probabilities of default, contagion effects, and drivers of tail events.
- Ensure model traceability and provide clear narratives explaining results.
- Contribute to model documentation, validation, implementation, and testing.
- Develop and maintain the modeling infrastructure and library supporting climate risk modeling activities.
- Implement the climate model framework within the existing model development library infrastructure.
- Support the Enterprise Risk Management team with regulatory and enterprise stress testing activities related to climate models.
Other
- 3-5 years of experience in model development or relevant academic research role, ideally in the financial sector.
- Advanced degree in a quantitative field/STEM or equivalent experience.
- Excellent written and verbal communication skills.
- Strong project management, organizational skills, and ability to manage multiple projects concurrently.
- Ability to work with stakeholders, including senior management, auditors, and regulators
