Quantitative Modeling AVP - Wholesale Credit Reserves
Company: Citigroup Inc.
Location: Irving
Posted on: August 3, 2022
Job Description:
The Credit and Obligor Risk Analytics (CORA) group within Citi's
Risk Modeling and Analytics organization is seeking an experienced
quantitative model developer/analyst at the Assistant Vice
President level to join the Wholesale Credit Reserves Modeling team
in Irving, TX. The team is responsible for development of expected
credit loss and related models for Citi's wholesale credit
portfolios, in support of setting reserves for reporting under the
CECL and IFRS 9 accounting standards.This is a highly visible
individual contributor position within the organization, covering a
wide range of responsibilities to support the risk management of
Wholesale global portfolios. The successful candidate will be a
part of highly productive analytical team and lead all aspects of
the model development life cycle, which includes interaction with
Senior Risk, Finance and Business Managers, Citi's Model Risk
Management, Internal and External Auditors and External
Regulators.Responsibilities:
- Hands on model development and performance testing for
wholesale Credit Reserves models in partnership with business and
Risk sponsors.
- Hands on initial validation and annual model reviews with model
validators.
- Provide analytical support to Risk and Finance units that use
Credit Loss Reserves models. Support those units in their
interactions with auditors and regulators.
- Apply quantitative and qualitative data analysis methods
including Python and R programming, using Structured Query Language
(SQL) to extract, transform and analyze data, and use spreadsheets
to prepare and present data and analysis
- Maintain records of updates to model code (using source code
control tools such as Git), sources of data, and adherence to
approved processes to facilitate model enhancement and provide
transparency to auditors and regulators.
- Prepare statistical and non-statistical data exploration,
validate data, identify data quality issues
- Actively participate in the analysis and interpretation of
results, incorporating feedback as appropriate into models and
metrics. -
- Actively engage across all model development teams within
CORA.
- Prepare and deliver training materials, presentations and
reports on credit risk analytics for technical and non-technical
audiences.Qualifications:
- Graduate degree in Economics, Finance, or another quantitative
field (Mathematics, Physics, Computer Science, Econometrics,
Statistics, etc.)
- Strong experience in quantitative analysis and programming.
Proficiency in Python, R, or other programming language experience,
and in use of Microsoft Excel.
- 1-3 -years of experience in quantitative modelling. - Financial
and Wholesale Credit Risk experience preferred.
- Hands-on experience with the research, development, and
implementation of quantitative models, including technical and
non-technical documentation.
- Clear and concise written and verbal communication skills
- Ability to make decisions / balance aggressive timelines for
deliverables amidst conflicting priorities.
- Demonstrated project management and organizational skills and
capability to handle multiple projects at one
time-------------------------------------------------Job Family
Group: Risk
Management-------------------------------------------------Job
Family:Risk Analytics, Modeling, and
Validation------------------------------------------------------Time
Type:Full
time------------------------------------------------------Citi is
an equal opportunity and affirmative action employer.Qualified
applicants will receive consideration without regard to their race,
color, religion, sex, sexual orientation, gender identity, national
origin, disability, or status as a protected veteran.Citigroup Inc.
and its subsidiaries ("Citi") invite all qualified interested
applicants to apply for career opportunities. If you are a person
with a disability and need a reasonable accommodation to use our
search tools and/or apply for a career opportunity review .View the
"" poster. View the .View the .View the
-----------------------------Effective November 1, 2021, Citi
requires that all successful applicants for positions located in
the United States or Puerto Rico be fully vaccinated against
COVID-19 as a condition of employment and provide proof of such
vaccination prior to commencement of employment.
Keywords: Citigroup Inc., Irving , Quantitative Modeling AVP - Wholesale Credit Reserves, Other , Irving, Texas
Didn't find what you're looking for? Search again!
Loading more jobs...