SVP, MRM Loss Forecasting Sr. Lead Analyst (Hybrid)

The Risk Analytics, Modeling and Validation role involves the development, enhancement, and validation of methods for measuring and analyzing all types of risks, including market, credit, and operational. In areas related to credit risk, individuals in this role develop, enhance, and validate models for measuring obligor credit risk, or early warning tools that monitor the credit risk of corporate or consumer customers, besides being involved in Loss Given Default studies. They also develop and maintain key risk parameters like default and rating migration data, usage given default data and transition matrices. This role is vital to the company as it provides a scientific and systematic approach to assessing and mitigating risks, thereby ensuring the company's financial stability, protecting its assets, and supporting its overall business strategy.

Responsibilities: 

• Oversee a portfolio (e.g., mortgage models) of model types / product types for a specific business area Perform model validations, annual model reviews, ongoing monitoring reviews (on Low, Medium and High Model Risk Rating (MRR) models), model limitation remediation reviews, Supervisory and Peer Reviews across the specific portfolio.
• Conduct thorough and end to end validation of models in the context of Mortgage models, Mortgage Backed Securities (MBS) and those models related to hedging strategies to ensure their accuracy and reliability. 
• Identify potential weaknesses and issues in the models, and propose solutions or improvements to enhance the models
• Ensure compliance with regulatory standards
• Effectively communicate validation findings to model developers, business owners, and other stakeholders. 
• Ensure accuracy of validations performed by Validators covering the VL’s specific portfolio Provide effective challenge to the model development process on Low / Medium / High MRR models in accordance with the Citi Model Risk Management Policy.
• Covers both technical and functional aspects, including model assumptions, conceptual soundness, mathematical formulation, model calibration, and model performance, as well as the functional assessment of using the model for regulatory and business applications. Job responsibilities include reviewing models and identifying shortcomings development documents, performing validation tests, discussing findings with senior stakeholders, writing validation reports, and managing model risk on an ongoing basis

• Is an enthusiastic and early adopter of change; takes ownership for helping others see a better future and stay positive during uncertainty.
• Demonstrates and inspires curiosity in seeking new ways to overcome challenges; actively applies learning from failures.
• Challenges self and others to seek out and communicate alternative views even when unpopular; welcomes diverse ideas to improve outcomes.
• Acts as a change catalyst by identifying and helping others see where new ideas could benefit the organization.
• Proactively seeks to understand and act in alignment with organizational decisions; helps others prioritize team and enterprise success over their own personal agenda
• Focuses on highest-priority work aligned to business goals; helps others effectively manage competing priorities.
• Proactively identifies opportunities to streamline work; creates process improvements that enhance efficiency for self and the team.
• Takes personal accountability for escalating, identifying, and managing potential risk; implements controls that enhance the client experience and operational effectiveness.
• Anticipates problems and proactively identifies solutions that address the root
• Sets high expectations and invests the necessary effort to deliver excellence and exceed performance goals.
• Role-models and helps others to do the right thing for clients and Citi in all situations, even when difficult
• Engages key stakeholders early and often and actively looks for opportunities to improve collaboration in achieving common goals.
• Proactively seeks out opportunities to volunteer in Citi programs that support causes and result in meaningful improvements in the community; advocates for solutions that meet the needs of Citi’s clients and the community.
• Enthusiastically promotes the unique needs and preferences of colleagues; makes active commitment to help colleagues achieve balance, well-being, and development.
• Leverages varied networks to recruit diverse talent; advocates for colleagues with diverse skillsets, styles, and experiences to gain career opportunities.
• Empathetically listens and understands others’ positions before acting on issues; works to amplify voices that are minimized in the workplace

• Appropriately assess risk when business decisions are made, demonstrating Mortgage Backed Securities 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, as well as effectively supervise the activity of teams and create accountability with those who fail to maintain these standards

Qualifications: 

• 10+ years of experience
• Strong business understanding of mortgages, Mortgage Backed Securities (MBS) and hedging strategies in the context of mortgages
• Demonstrated project management and organizational skills and capability to handle multiple projects simultaneously.
• Deep understanding of financial instruments, pricing models, simulation and other relevant risk estimation methodologies, and regulatory requirements.
• Sound knowledge in Calculus, Linear Algebra, Statistics, and Numerical Methods.
• Strong verbal and written communication skills.
• Solid writing skills.
• Programming skills in languages like Python, MATLAB, C/C++/C#, VBA or other coding language as need.
• Extensive experience in developing and validating risk measurement methods and models for one or more businesses and product areas.
• Familiarity with regulatory requirements related to relevant model types and risk management practices.
• Strong knowledge of risk management principles and practices. Familiar with regulatory requirements related to the relevant model portfolios.
• Proficiency in data analysis and interpretation.
• Programming skills in languages like Python, MATLAB, C/C++/C#, VBA or other coding language as need.
• Experience in conducting extensive quantitative and qualitative analysis.
• Ability to formulate recommendations on policies, procedures, or practices.
• Excellent analytical and problem-solving skills, with the ability to make complex judgments and select complex alternatives.
• Strong commercial awareness and business acumen.
• Excellent communication and negotiation skills, with the ability to communicate effectively both internally and externally.
• Ability to apply ingenuity and creativity to problem analysis and resolution in complicated and/or novel situations.
• Strong leadership and team management skills.

Education: 

Bachelor's/University degree, Master's degree preferred

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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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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.

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