Climate Scenario Developer

By Joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Team and Role Overview:

Climate risk has recently emerged as a top priority risk for the firm. The team has been established within Independent Risk Management charged with building out second line Climate Risk management capabilities, in terms of risk identification, measurement and integrating these into governance and existing risk processes. Scenario analysis and stress testing represents a key pillar of the team’s core mandate.

This model development role will support required enhancements to existing risk scenario design and expansion capabilities in line with emerging industry practices and regulatory expectations.

What you’ll do:

• Utilize Matlab, Python etc to build and test statistical models. Write clean, efficient, and well-documented code.

• Support the development of scenario design and expansion approaches.

• Conduct research to identify causal drivers and to support scenario design methodological approaches.

• Lead model development efforts to build best-in-class models to translate climate variables into macroeconomic and microeconomic variables.

• Interpret scenario variable pathways and ensure variable projections are consistent with scenario assumptions, model assumptions and statistical and econometric foundation assumptions.

• Ensure methodological consistency and coherency across scenarios developed and used across the organization (both businesses and regions).

What we’ll need from you:

• Strong understanding of econometric model development and model development experience (preferably obtained at a peer institution). Other modelling experience will also be considered.

• Proficient in Python, Matlab etc. Experience with the full software development life cycle is required.

• 4+ years of post-PhD work experience, or 6+ years of post-Master’s work experience

• Experience in dealing with change projects and/or building / delivering new capabilities. across diverse stakeholder groups; including senior managers, and large firm networks is desirable.

• Experience with scenario expansion for scenario analysis and stress testing purposes is preferable.

• Solid understanding of NGFS, IPCC, and IEA scenarios and translation of climate risks into financial system impacts is desirable.

• Familiarity with industry leading climate risk models and physical risk data providers, with fluency in the scope, capabilities, and limitations of each tool and platform is desirable.

• Strong organizational skills and the ability to multi-task effectively in a high-volume and complex environment with changing priorities with a practical solutions-driven approach.

• Excellent written and oral communications skills, with the ability to influence and translate complex concepts into ‘user friendly’ language and effectively present in long-form.

• Proven ability to partner and collaborate across an organization, excellent influencing, facilitation, and partnering skills, with the ability to build relationships, partner effectively and build a strong internal network across functions and throughout the global Risk network together with the matrix at all levels of the organization

• Strong tenacity and resilient under pressure and self-motivated in a fast paced and demanding environment

• The role demands a strong work ethic, willingness to ‘roll up sleeves’, with a tireless work ethic

• Strong analytical problem-solving skills and high level of integrity to deal with highly confidential data.

What we can offer you:

This role provides a unique opportunity to be part of building Citi’s capabilities in an exciting and rapidly evolving area. It will provide visibility, be cross-functional in nature and provide exposure to different businesses, products and risk types. The position involves a significant amount of interaction with senior management and subject matter experts.