8 days old

Wholesale Stress Testing Model Analytics VP

Citigroup
New York, NY 10176
Wholesale stress testing is a newly created team within Wholesale Credit Risk Management, whose purpose is to identify, measure and monitor vulnerabilities of obligor, collaterals, and concentration in stress scenarios. A new BAU stress testing framework will be implemented to consolidate and govern stress loss calculations across sub line of business to ensure consistency in methodology & scenario design. This senior position will report to head of wholesale stress testing and support end to end stress testing processes with excellent quantitative and technical skills


**Responsibilities:**


+ Execute periodic stress testing exercises to monitor WCRs risk appetite and identify vulnerable areas

+ Provide analytics support to stress test models in wholesale products

+ Partner with business units and risk managers to assess data availability and fit for purpose modeling approaches

+ Interact with model developers, model risk governance, business risk, internal audit

+ Leverage business / product expertise to evaluate and challenge the stress loss assumptions in hypothetical and historical stress scenarios

+ Gather and analyze portfolio and macro-economic data to assess potential impact on business performance and integrate the trends to the portfolio loss forecast

+ Research on 3rd party data, loss history and alternative models to build inventory of benchmarks

+ Develop deep expertise in stress testing methodologies and validate fit for purpose usage in BAU stress testing management

+ Contribute and refine current model performance monitoring process to interpret model output and identify opportunities for future improvements

+ Create a new scenario design capability leveraging existing models & data to translate emerging risk to economic scenarios, model inputs or portfolio shocks

+ Build tools & analytical capabilities to support outcome analysis, loss forecasting reports and what if analysis

+ Works with large datasets and complex algorithms to solve data science challenges.

+ Leverages big data to develop innovative deployable solutions.


**Qualifications:**


+ 5+ years experience

+ Sound knowledge of statistical modeling concepts and industry best practices; experience with econometric and statistical modeling or application risk scoring.

+ Excellent quantitative and analytic skills; ability to derive patterns, trends and insights, and perform risk/reward trade-off analysis.

+ Experience with analytical or data manipulation tools (e.g. SAS, SQL, R, C Programming in UNIX) Proficient with MS Office suite.

+ Past experience working on model analytics, back testing, benchmarking and challenger function

+ Knowledge on scenario design, sensitivity shocks and risk identification process

+ Good interpretations skills to convey complex quantitative methodology in simple terms


**Education:**


+ Bachelors/University degree or equivalent experience, potentially Masters degree


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**Job Family Group:**


Risk Management

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**Job Family:**


Risk Analytics, Modeling, and Validation

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**Time Type:**


Full time

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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 **Accessibility at Citi (https://www.citigroup.com/citi/accessibility/application-accessibility.htm)** .


View the "EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) " poster. View the EEO is the Law Supplement (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/OFCCP\_EEO\_Supplement\_Final\_JRF\_QA\_508c.pdf) .


View the EEO Policy Statement (http://citi.com/citi/diversity/assets/pdf/eeo\_aa\_policy.pdf) .


View the Pay Transparency Posting (https://www.dol.gov/sites/dolgov/files/ofccp/pdf/pay-transp\_%20English\_formattedESQA508c.pdf)


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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.
Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.

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Posted: 2022-05-13 Expires: 2022-06-12

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Wholesale Stress Testing Model Analytics VP

Citigroup
New York, NY 10176

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