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Credit Risk Researcher

Company: Citigroup Inc.
Location: Irving
Posted on: May 3, 2021

Job Description:

  • Description:

Credit and Obligor Risk Analytics (CORA) is looking to add a Credit Risk Researcher Model Developer to the Credit Risk Rating Analytics (CRRA) Team. The Credit Risk Rating Analytics (CRRA) team is responsible for the life cycle development of all Citi's Wholesale 1-year probability of default models used to rate SMEs / MMEs and Large Corporates as well as Commercial Banks on a Global basis. Built on default and financial data specific to the geography or industry, these models provide a means of evaluating obligor credit risk on a consistent basis across all regions and many industries. The team is also responsible for writing the approvals of Risk Rating Processes (Methodologies) for Classifiably Managed (Wholesale) Portfolios. The Risk Rating Process is the end to end process for assigning Obligor Risk Ratings (ORRs), which are 1-year probability of default ratings and Expected Loss Rating at the facility level or Facility Risk Ratings (FRRs). At present, these Risk Rating Processes and models are used by approximately 3,000 Risk Managers and rate more than 50,000 obligors with $1 Trillion in exposure in the wholesale portfolio.

The successful candidate will be on a team responsible for managing all aspects of the credit risk model development life cycle, which includes interaction with Senior Risk and Business Managers and Citi's Model Risk Management Group (validation).

This is a highly visible position.

Responsibilities:

  • Research, develop, and implement credit risk models, including technical and non-technical documentation.
  • Lead annual model reviews and performance testing which requires a solid understanding of the documentation and testing requirements.
  • Engage with Senior Risk and Business Managers on a Global basis to provide value added solutions to better inform and enhance the risk-return tradeoff.
  • Apply critical thinking in solving complex business problems with quantitative tools in a collaborative, fast-paced environment.
  • Represent the CRRA Team as a thought leader and Subject Matter Expert.
  • Act as a thought partner to Risk Managers on a Global basis.
  • Actively engage with the CRRA Team and other members of CORA.
  • Qualifications:

  • Masters or PhD in Economics, Econometrics, Statistics, Math, Finance / Corporate Finance, Accounting, or an Applied Science. CFA or FRM is a plus.
  • Strong working knowledge of Accounting and Corporate Finance is a significant plus.
  • 1-3 years of experience in quantitative financial modeling. Hands-on experience with the research, development, and implementation of credit risk models.
  • Hands-on experience with the research, development, and implementation of credit risk models, including technical and non-technical documentation.
  • Familiar with statistics packages and regression models.
  • Strong programming skills in Python, R, or other objected oriented languages.
  • Excellent communication skills, verbal as well as written.
  • Experience working with a highly productive analytical team.
  • Ability to make decisions / balance aggressive timelines for deliverables amidst conflicting priorities.

Keywords: Citigroup Inc., Irving , Credit Risk Researcher, Other , Irving, Texas

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