The Credit, Climate, and Obligor Risk Analytics (CORA) group within Citi is looking to solve the problem of developing credit risk loss given default models for Basel, stress-testing, loss reserves for Citi's wholesale credit portfolios.
Requirements
- 3+ years of experience in quantitative financial modeling.
- Experience in credit risk parameter Loss Given Default modeling and/or validation.
- Proficiency in working with large data sets and data pulls from relational databases.
- Knowledge of wholesale credit products and financial markets at a financial institution.
- Strong programming skills in Python, R or other advanced programming languages.
- Knowledge of git and GitHub/bitbucket is a must.
- Knowledge of bank stress testing and loss reserves for wholesale credit portfolios for CECL and CCAR or global IFRS9/ICAAP calculation is a plus.
Responsibilities
- Research, develop, and maintain advanced scenario-based loss severity models for wholesale credit portfolios for Basel, stress-testing (CCAR, ICAAP), reserves (CECL, IFRS9).
- Develop quantitative methodologies, algorithms, and tools for model development as well as for testing of models' robustness, stability, and overall performance.
- Conduct reliability analyses and perform quality control of modeling data and model results.
- Manage model risk across the entire model life-cycle, including model development, model validation, ongoing performance assessment, and annual model reviews.
- Create and maintain technical documentation for modeling methodologies and applications, including project plans, model descriptions, mathematical derivations, data analyses, processes, and quality controls.
- Implement financial quantitative analytical tools and support model migration to the production environment.
- Liaise with business risk managers, clients and partners in the analysis and interpretation of model results, incorporating their feedback as appropriate.
Other
- Master or PhD degree in Mathematics, Physics, Computer Science, Econometrics, Statistics, Engineering or another quantitative field is required.
- Bachelor’s degree with 5+ years of experience.
- Self-motivated and detail oriented.
- Demonstrated project management and organizational skills and capability to handle multiple projects simultaneously.
- Excellent communication skills, verbal as well as written.
