Model/Analysis/Validation Officer

Citi • New York, NY

8d • $165,100 - $200,000 • Hybrid

About The Position

Citibank, N.A. seeks a Model/Analysis/Validation Officer for its New York, NY location.
Duties: 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, including credit cards and mortgage. Build and enhance forecasting methodologies to estimate credit losses under varying macroeconomic scenarios using portfolio analytics and statistical techniques such as logistic regression, linear regression, discrete time survival analysis, and transition matrix approaches on large-scale datasets. Develop models and analytical tools to project Probability of Default (PD), Exposure at Default (EAD), and Loss Given Default (LGD), aligned with regulatory frameworks such as the Current Expected Credit Loss (CECL) and the Comprehensive Capital Analysis and Review (CCAR). Create and implement macroeconomic scenario-based efficient loss simulation frameworks. Design and execute risk quantification methodologies to monitor and evaluate stress-based limits, supporting risk appetite frameworks and strategic decision-making for retail lending portfolios. Develop analytical and visualization setups using Python, R, SAS, SQL, Excel, and Tableau for statistical programming and analytics. Automate forecasting infrastructure through the development and maintenance of analytical tools and production environments, reducing operational risk and enhancing analytical agility. 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). A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols.

Requirements

• Bachelor’s degree, or foreign equivalent, in Economics, Statistics, Mathematics, or a related field, and six (6) years of experience in the job offered or in a related quantitative occupation performing credit risk management and statistical modeling within the financial services industry.
• Six (6) years of experience must include: Developing risk models for retail banking products including credit cards, personal loans, and mortgages, integrating product-specific characteristics into stress testing and capital planning frameworks; Working with regulatory frameworks (e.g., CCAR, CECL) translating into advanced risk quantification methodologies, technical documentation and model implementation; Working with tools and programming languages, including SAS, SQL, Python, for building custom loss forecasting models, conducting scenario analysis, and automating stress testing processes; Developing approximation techniques for stress loss estimates, designing and automating dashboards and risk visualizations using business intelligence tools such as Tableau, Excel and PowerPoint; Conducting portfolio-level risk aggregation and sensitivity testing and applying statistical techniques including linear & logistic regression, time series modelling, survival analysis and Monte Carlo simulation to estimate loss exposure under macroeconomic shocks; and Creating detailed technical documentation for model development and supporting validation processes, including model assumptions, methodologies, testing and governance controls.

Responsibilities

• Design, develop, and execute enterprise-wide stress testing frameworks for credit risk.
• Build and enhance forecasting methodologies to estimate credit losses under varying macroeconomic scenarios.
• Develop models and analytical tools to project Probability of Default (PD), Exposure at Default (EAD), and Loss Given Default (LGD).
• Create and implement macroeconomic scenario-based efficient loss simulation frameworks.
• Design and execute risk quantification methodologies to monitor and evaluate stress-based limits.
• Develop analytical and visualization setups using Python, R, SAS, SQL, Excel, and Tableau for statistical programming and analytics.
• Automate forecasting infrastructure through the development and maintenance of analytical tools and production environments.
• 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).

Benefits

• In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards.
• Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs.
• Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.
• For additional information regarding Citi employee benefits, please visit citibenefits.com.
• Available offerings may vary by jurisdiction, job level, and date of hire.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level