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Quantitative Modeling AVP – Wholesale Credit Reserves

Job Req ID 22589354 Location(s) Irving, Texas Job Category Risk Management
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The Credit and Obligor Risk Analytics (CORA) group within Citi’s Risk Modeling and Analytics organization is seeking an experienced quantitative model developer/analyst at the Assistant Vice President level to join the Wholesale Credit Reserves Modeling team in Irving, TX. The team is responsible for development of expected credit loss and related models for Citi's wholesale credit portfolios, in support of setting reserves for reporting under the CECL and IFRS 9 accounting standards.

This is a highly visible individual contributor position within the organization, covering a wide range of responsibilities to support the risk management of Wholesale global portfolios. The successful candidate will be a part of highly productive analytical team and lead all aspects of the model development life cycle, which includes interaction with Senior Risk, Finance and Business Managers, Citi’s Model Risk Management, Internal and External Auditors and External Regulators.

Responsibilities:

  • Hands on model development and performance testing for wholesale Credit Reserves models in partnership with business and Risk sponsors.
  • Hands on initial validation and annual model reviews with model validators.
  • Provide analytical support to Risk and Finance units that use Credit Loss Reserves models. Support those units in their interactions with auditors and regulators.
  • Apply quantitative and qualitative data analysis methods including Python and R programming, using Structured Query Language (SQL) to extract, transform and analyze data, and use spreadsheets to prepare and present data and analysis
  • Maintain records of updates to model code (using source code control tools such as Git), sources of data, and adherence to approved processes to facilitate model enhancement and provide transparency to auditors and regulators.
  • Prepare statistical and non-statistical data exploration, validate data, identify data quality issues
  • Actively participate in the analysis and interpretation of results, incorporating feedback as appropriate into models and metrics. 
  • Actively engage across all model development teams within CORA.
  • Prepare and deliver training materials, presentations and reports on credit risk analytics for technical and non-technical audiences.

Qualifications:

  • Graduate degree in Economics, Finance, or another quantitative field (Mathematics, Physics, Computer Science, Econometrics, Statistics, etc.)
  • Strong experience in quantitative analysis and programming. Proficiency in Python, R, or other programming language experience, and in use of Microsoft Excel.
  • 1-3 years of experience in quantitative modelling.  Financial and Wholesale Credit Risk experience preferred.
  • Hands-on experience with the research, development, and implementation of quantitative models, including technical and non-technical documentation.
  • Clear and concise written and verbal communication skills
  • Ability to make decisions / balance aggressive timelines for deliverables amidst conflicting priorities.
  • Demonstrated project management and organizational skills and capability to handle multiple projects at one time

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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:

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Primary Location:

Irving Texas United States

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Primary Location Salary Range:

$93,200.00 - $139,800.00

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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.

View the "EEO is the Law" poster. View the EEO is the Law Supplement.

View the EEO Policy Statement.

View the Pay Transparency Posting

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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.

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