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Risk Model Development Analyst II-C10

Job Req ID 25882431 Location(s) Bengaluru, India Job Type On-Site/Resident Job Category Risk Management
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The Model/Anlys/Valid Analyst II is a developing professional role. Applies specialty area knowledge in monitoring, assessing, analyzing and/or evaluating processes and data. Identifies policy gaps and formulates policies. Interprets data and makes recommendations. Researches and interprets factual information. Identifies inconsistencies in data or results, defines business issues and formulates recommendations on policies, procedures or practices. Integrates established disciplinary knowledge within own specialty area with basic understanding of related industry practices. Good understanding of how the team interacts with others in accomplishing the objectives of the area. Develops working knowledge of industry practices and standards.

  • Limited but direct impact on the business through the quality of the tasks/services provided. Impact of the job holder is restricted to own team.



  • Responsibilities: Qualifications: Education:
    • Develops, enhances, and validates the methods of measuring and analyzing risk, for all risk types including market, credit and operational. Also, may develop, validate and strategize uses of scoring models and scoring model related policies.
    • Leads project in terms of development, programming, integration, testing, and validation of models.
    • Provides analytical support on analysis and benchmarking.
    • Prepares business as usual and ad-hoc reports in accordance with the Risk Management Teams priorities and requirements, running integrity checks on the reports and checking key numbers from other independently created reports.
    • Participates in a project of constant improvement of risk analytics, modeling and validation systems and optimization of reports.
    • Works on constant improvement of reporting system and optimization of Credit MIS Reports.
    • Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.
    • Demonstrated programming (SAS, SQL, R, etc.). Knowledge of tools like VBA preferable.
    • Basic knowledge of secured/unsecured banking products and US banking.
    • Good communication skill to communicate technical information verbally and in writing to both technical and non-technical audiences.
    • Proven analytical skills, with the ability to identify root causes and trends and anticipate horizon issues.
    • Proficient in Microsoft Office (Word, Excel, and PowerPoint
    • 2+ years experience in model implementation/validation/development preferable.
    • Bachelor’s/University degree or equivalent experience

The Position within Global Consumer Risk Management of Citi for CCAR/DFAST/CECL and other stress testing regulations for stress loss model development for the secured portfolios (e.g., Home Equity, Mortgage etc.).

Core Responsibilities:
This position within Global Consumer Banking will develop CCAR/DFAST stress loss models for secured portfolios (e.g., Home Equity, Mortgage etc.). The responsibility includes but not limited to the following activities:

  • Obtain and conduct QA/QC on all data required for stress loss model development
  • Develop segment and/or account level stress loss models
  • Perform all required tests (e.g. sensitivity and back-testing)
  • Validate/recalibrate all models annually to incorporate latest data. Redevelop as needed.
  • Deliver comprehensive model documentation
  • Work closely with cross functional teams, including country/region’s business stakeholders, model validation and governance teams, and model implementation team
  • Prepare responses/presentations for regulatory agencies on all regulatory models built

Education:
Advanced Degree (Masters required or PhD preferred) in Statistics, Applied Mathematics, Operations Research, Statistics, Economics, Quantitative Finance etc. MBA s should apply only if they are interested in career in specialized quantitative risk management discipline.

Skillset

  • Role involves strong programming (SAS, R, Matlab etc) and quantitative analytics (regression, time series, decision tree, linear/nonlinear optimization etc) skill.
  • 2-4 years analytic experience.
  • Experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses.
  • Experience in model development or (risk/marketing)- credit scorecard development, Basel modeling, stress loss preferred or credit policy analytics.
  • Experience in end-to-end  modeling process (data collection, data integrity QA/QC/reconcilements, pre-processing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, & model production implementation).
  • Good communication skill to communicate technical information verbally and in writing to both technical and non-technical audiences.
  • Expected to work with moderate supervision and guidance.
  • Work as an individual contributor.

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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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Most Relevant Skills

Analytical Thinking, Business Acumen, Constructive Debate, Data Analysis, Escalation Management, Policy and Procedure, Policy and Regulation, Risk Controls and Monitors, Risk Identification and Assessment, Statistics.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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.

View Citi’s EEO Policy Statement and the Know Your Rights poster.

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