AVP, Model Validator Analyst (Hybrid)

Responsibilities:

The Climate Risk Model Developer will develop and implement models to assess the impact of climate change on Citi, its portfolios, activities, and clients. This includes contributing to stress testing methodologies (transitional and physical), focusing on portfolio credit losses, integration of business/net-zero strategies, and impacts on risk ratings.

Climate Model Development:

• Develop climate risk models for credit assessment and stress testing, focusing on portfolio credit loss estimations.
• Translate climate scenarios (regulatory and internal) into quantifiable impacts for stress loss calculations, including probabilities of default, contagion effects, and drivers of tail events.
• Ensure model traceability and provide clear narratives explaining results.
• Contribute to model documentation, validation, implementation, and testing.
• Develop and maintain the modeling infrastructure and library supporting climate risk modeling activities.

Collaboration and Communication:

• Communicate complex modeling concepts to stakeholders (senior management, auditors, regulators).
• Collaborate with 1st and 2nd Lines of Defense (1LOD/2LOD) to apply climate models to their specific needs.
• Work with Model Risk Management to ensure that new approaches and methodologies are well-understood and ready for validation
• Partner with the Enterprise Scenario team to integrate climate scenarios into the modeling framework.
• Implement the climate model framework within the existing model development library infrastructure.
• Support the Enterprise Risk Management team with regulatory and enterprise stress testing activities related to climate models.

Qualifications:

• 3-5 years of experience in model development or relevant academic research role, ideally in the financial sector.
• Hands-on experience in model development and data science. Experience in climate risk, credit risk, industry frameworks, and regulatory stress testing preferred.
• Ability to apply sophisticated mathematical/analytical techniques to solve real-world problems.
• Proficient in Python in a Linux environment
• Excellent written and verbal communication skills.
• Strong project management, organizational skills, and ability to manage multiple projects concurrently.
• Deep understanding of climate change, advanced modeling techniques, model validation, and relevant quantitative methodologies highly desired

Education:

• Advanced degree in a quantitative field/STEM or equivalent experience.

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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.

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Anticipated Posting Close Date:

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