This role is responsible for developing benchmark risk models for Citi's U.S. secured portfolios to support CCAR, CECL, and climate risk requirements
Job Summary
This role is responsible for developing benchmark risk models for Citi's U.S. secured portfolios to support CCAR, CECL, and climate risk requirements.
The position requires independently performing data cleansing, identifying portfolio drivers, and building PD/EAD/LGD models with minimal supervision.
Candidates must effectively communicate model results to both technical and non-technical senior audiences and prepare responses for regulatory agencies.
Matching Summary
This role is responsible for developing benchmark risk models for Citi's U.S. secured portfolios to support CCAR, CECL, and climate risk requirements.
Skills & Requirements
Must-have
5+ years quantitative analysis experience
End-to-end credit risk modeling expertise
Strong programming skills in SAS SQL Python R
Nice-to-have
Experience with CCAR and CECL regulations
PhD in Statistics Economics or Finance
Ability to communicate technical results clearly
Key Requirements
Master's degree in quantitative discipline required
5+ years of experience in statistical modeling
In-depth knowledge of loss forecasting and econometric modeling