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Wholesale Stress Testing Model Risk Analytics, VP (C-13)

Job Req ID 22471539 Primary Location New York, New York; Irving, Texas Job Category Risk Management
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Wholesale stress testing is a newly created team within Wholesale Credit Risk Management, whose purpose is to identify, measure and monitor vulnerabilities of obligor, collaterals, and concentration in stress scenarios.  A new BAU stress testing framework will be implemented to consolidate and govern stress loss calculations across sub line of business to ensure consistency in methodology & scenario design.  This senior position will report to head of wholesale stress testing and support end to end stress testing processes with excellent quantitative and technical skills


  • Execute periodic stress testing exercises to monitor WCR’s risk appetite and identify vulnerable areas
  • Provide analytics support to stress test models in wholesale products
  • 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
  • Gather and analyze portfolio and macro-economic data to assess potential impact on business performance and integrate the trends to the portfolio loss forecast
  • Research on 3rd party data, loss history and alternative models to build inventory of benchmarks
  • Develop deep expertise in stress testing methodologies and validate fit for purpose usage in BAU stress testing management
  • Contribute and refine current model performance monitoring process to interpret model output and identify opportunities for future improvements
  • Create a new scenario design capability leveraging existing models & data to translate emerging risk to economic scenarios, model inputs or portfolio shocks
  • Build tools & analytical capabilities to support outcome analysis, loss forecasting reports and what if analysis
  • Works with large datasets and complex algorithms to solve data science challenges.
  • Leverages big data to develop innovative deployable solutions.


  • 5+ years experience
  • Sound knowledge of statistical modeling concepts and industry best practices; experience with econometric and statistical modeling or application risk scoring.
  • Excellent quantitative and analytic skills; ability to derive patterns, trends and insights, and perform risk/reward trade-off analysis.
  • Experience with analytical or data manipulation tools (e.g. SAS, SQL, R, C Programming in UNIX) Proficient with MS Office suite.
  • Past experience working on model analytics, back testing, benchmarking and challenger function
  • Knowledge on scenario design, sensitivity shocks and risk identification process
  • Good interpretations skills to convey complex quantitative methodology in simple terms


  • Bachelor’s/University degree in finance, economics, math or engineering or equivalent experience, potentially Masters degree


Job Family Group:

Risk Management


Job Family:

Risk Analytics, Modeling, and Validation


Time Type:

Full time


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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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