Wholesale Stress Testing Risk Analyst, AVP (Hybrid)

• The wholesale stress testing team within Citi's Wholesale Credit Risk Portfolio Management Group is hiring an AVP level talent to join the team. The team's purpose is to identify, measure and monitor vulnerabilities of obligor, collaterals, and concentration in stress scenarios.  A new BAU stress testing framework is implemented to consolidate and govern stress loss calculations across sub line of business to ensure consistency in methodology & scenario design.  This position is expected to have excellent quantitative and technical skills to support end to end stress testing analytics.

  
  Key Responsibilities:

• Execute monthly stress testing exercises to monitor WCR’s risk appetite and identify vulnerable areas
• Cover key process of rapid stress testing, overlays
• Provide analytics support to stress test models in wholesale products, connect the stress testing output to model drivers

Other Responsibilities:

• Build tools & analytical capabilities to support outcome analysis, loss forecasting reports and what if analysis
• Gather and analyze portfolio and macro-economic data to assess potential impact on business performance and integrate the trends to the portfolio loss forecast
• Partner with business units and risk managers to assess data availability and fit for purpose modeling approaches
• Interact with model developers, model risk governance, business risk, internal audit
• Leverage business / product expertise to evaluate and challenge the stress loss assumptions in hypothetical and historical stress scenarios
• Research on 3rd party data, loss history and alternative models to build inventory of benchmarks
• Contribute and refine current model performance monitoring process to interpret model output and identify opportunities for future improvements

Qualifications:

• 2+ years' experience in stress testing (CCAR/DFAST), CECL, or loss forecast model development
• 2+ years' experience with data analytical tools like Python or R
• Sound knowledge of C&I and CRE loss forecast modeling analytics, PD/LGD/EAD models, experience in HFS/FVO is preferred
• Demonstrated experience of building analytical tools to support the analysis of loss forecasting results, using tableau, Excel, R shiny or Python
• Excellent quantitative and analytic skills; ability to derive patterns, trends and insights, and perform risk/reward trade-off analysis.
• Proficient with MS Office suite, Word/Excel/PowerPoint.
• Knowledge on scenario design, sensitivity shocks and risk identification process
• Good interpretations and communications skills to convey complex quantitative methodology in simple terms

Education:

• Bachelor’s/University degree or equivalent experience, potentially master's degree in Economics, Finance, or quantitative majors

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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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