Wholesale CECL & CCAR Overlay Analytics - VP

Position Summary

The position is part of Citi’s Wholesale Credit Allowance, Stress Testing and Risk Ratings Oversight Group, which manages these processes for Citi’s entire Corporate Loan portfolio. The focus of this role will be to support the Credit Allowance (“CECL”), the Comprehensive Capital Analysis and Review (“CCAR”), as well as the internal cost of credit planning processes, through methodological analysis, calculation and application of necessary overlays to the model result, to compensate for known model limitations, or to account for risks not adequately addressed by the raw model output, like idiosyncratic events and portfolio dependencies to economic and political environment changes.

The said cost of credit and capital planning processes have a quarterly cadence and have close affinity in terms of the modeling framework. Therefore, overlay considerations have to be assessed for applicability across both proceedings, to ensure appropriate alignment between the CCAR/capital planning overlay recommendations to the actual starting and ending credit reserves expectation for the given quarter.

We are looking for candidates with strong analytical acumen, good understanding of the credit risk principles, critical thought, and exemplary time management skills, who are interested in expanding their career into credit risk and capital analytics.

The position offers broad on the job learning experience and further development opportunities within Citi’s Risk organization.

Key Responsibilities:

• Analyze the CECL/CCAR model output, investigate the period-over-period changes against the portfolio credit quality and composition changes, and the economic assumptions. Present the conclusion in a structured, comprehensive manner, to enable assessment for any needed overlays, and relative decisions.

• Execute on the decisions made around the needed overlays: compile data references as needed, ensuring appropriate data sources, articulate the calculation in a clear, repeatable way, document the deployed assumptions, and implement controls to preserve data and calculation integrity. Self-monitor the process output, by reviewing the result for relevance to the intended outcome and assessing it for reasonableness. Recommend alternate approaches and adjustments for any identified logical fallacies or assumptions not supported by statistical evidence.

• Prepare p-point decks to present the results to senior management and affected stakeholders as relevant.

• Prepare overlay approval documents in accordance with the CECL/CCAR governance framework and the model risk management policy requirements.

• Facilitate the reporting of the approved overlays into the system, as per the process requirements (i.e. direct posting of the adjustment, offline hand off to risk reporting partners etc.). This includes the development of techniques for the allocation of the total overlay amount down to the necessary granularity; to this end, excellent knowledge of the CCAR and CECL data repositories has to be developed.

• Support the rest of the Wholesale Credit Allowance, Stress Testing and Risk Ratings Oversight Group, according to business needs and periodic priorities.

Qualifications:

• Min. 6 years of experience in the financial industry, and at least 2 years in the current role.

• Experience in Wholesale CCAR/Stress Testing &/or CECL will be preferred. Alternatively, roles associated with portfolio credit risk management and capital planning over classifiably managed exposures also qualify.

• Knowledge of running coding in R, Python or SAS, and writing and editing technical documentation.

• MS Office proficiency - particularly Excel (metrics, data analysis, ability to work with large data sets), PowerPoint (presentation decks), and Word (writing and editing procedural and technical documentation).

• Strong analytical skills with the ability to identify root causes and trends.

• Excellent writing and verbal communication skills; ability to communicate concisely and clearly.

• Strong time management skills with the ability to successfully accommodate competing priorities.

• Self-disciplined, able to work independently, take initiative and handle effectively their book of work, with limited supervision.

Education:

• Bachelor's degree/University degree

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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.

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