Model/analysis/validation Officer

Citi Handlowy

New York, NY, United States
$165,100.00 to $200,000.00; not specified; medical...
Hybrid
Stress testing frameworks for credit risk
Forecasting credit losses
Probability of default (pd), ead, lgd models
Design, develop, and execute enterprise-wide stress testing frameworks for credit risk, including those aimed at rapid emerging risk assessments, loss forecasting, monthly stress-based limit monitoring and capital planning for retail portfolios

Job Summary

  • Design, develop, and execute enterprise-wide stress testing frameworks for credit risk, including those aimed at rapid emerging risk assessments, loss forecasting, monthly stress-based limit monitoring and capital planning for retail portfolios.
  • Develop analytical and visualization setups using Python, R, SAS, SQL, Excel, and Tableau for statistical programming and analytics.
  • Support engagement by providing supporting analytics with internal audit and regulatory agencies such as the Federal Reserve and the Office of the Comptroller of the Currency (OCC).

Matching Summary

Design, develop, and execute enterprise-wide stress testing frameworks for credit risk, including those aimed at rapid emerging risk assessments, loss forecasting, monthly stress-based limit monitoring and capital planning for retail portfolios.

Salary

$165,100.00 to $200,000.00; Not specified; medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs.

Skills & Requirements

Must-have

  • Stress testing frameworks for credit risk
  • Forecasting credit losses
  • Probability of Default (PD), EAD, LGD models
  • Macroeconomic scenario-based simulation
  • Risk quantification methodologies
  • Python, R, SAS, SQL, Excel, Tableau

Nice-to-have

  • Enhancing analytical agility
  • Supporting internal audit and regulatory agencies
  • Risk appetite frameworks
  • Strategic decision-making

Key Requirements

  • Six (6) years of experience
  • Bachelor’s degree in Economics, Statistics, Mathematics, or related field
  • Developing risk models for retail banking products
  • Working with regulatory frameworks (CCAR, CECL)
  • Working with SAS, SQL, Python
  • Developing approximation techniques for stress loss estimates
  • Conducting portfolio-level risk aggregation
  • Creating detailed technical documentation

Work Rights

Not specified

Tailored Resume

Cover Letter