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Risk Manager-Climate Risk Modeling Lead-Climate SME(Hybrid)

Job Req ID 23608679 Location(s) Wilmington, Delaware; O'Fallon, Missouri; Irving, Texas Job Category Risk Management
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The Senior Vice President role of global secured portfolio model development reports to a manager of risk analytics and modeling within the Risk Model Utility (RMU) of Personal Banking and Wealth Management (PBWM).  This individual will build champion/benchmark risk models such as PD, EAD and LGD models for Citi's international and U.S. secured portfolios for CCAR, CECL, ICAAP, IFRS9, climate risk stress test and other regulatory usage. 


  • Lead projects under manager's guidance with the overarching responsibility of building champion/benchmark models for CCAR, CECL, IFRS9, climate risk stress test and other regulatory purposes for Citi's international and U.S. secured portfolios.
  • Lead the modeling efforts of data cleansing and analysis, identifying static and dynamic portfolio drivers and macroeconomic drivers for portfolio risk performances, building PD/EAD/LGD models and conducting statistical analysis and backtests, performing forecast sensitivity analysis and model robustness tests, and providing model implementation and validation support.
  • Lead in creating Model Development Document for validation and supporting Annual Model Reviews and Ongoing Performance Assessment of implemented models.
  • Lead the model revalidation, model change and related documentation and validation support efforts.
  • Ensure timely completion of assigned projects with high quality.
  • Work effectively in cross-functional teams, interacting with key stakeholders regularly to update progress, gather feedback and perform required analytics.
  • Create impactful presentations to communicate analytical findings to a wide array of audiences that will facilitate understanding of model performance and usage.
  • Interact with senior levels of management to facilitate understanding of usage of risk models and inform critical decisions.
  • Appropriately assess risk when business decisions are made, demonstrating 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.


  • 10+ years’ experience (6+ years' experience if PhD of statistics, economics, finance, or other highly quantitative discipline) in performing quantitative analysis and in-depth knowledge on the use of statistical models to solve business problems.
  • 2+ years of climate risk stress testing or catastrophe modeling in insurance required
  • 3+ years of mortgage credit risk modeling experience highly preferred
  • 3+ years of CCAR and CECL experience highly preferred
  • Deep and thorough knowledge of the mortgage business and knowledge of the regulatory requirements for models preferred.
  • Familiarity with the application of statistical modeling concepts in addressing International and US risk modeling needs.
  • Advanced knowledge of SAS/SQL, STATA, PYTHON, R or C programming. 5+ years of SAS experience highly preferred
  • Strong communication skills required to translate model design, specification and performance details to technical and non-technical audiences.


  • Bachelor’s/University degree or equivalent experience
  • PhD degree in Statistics, Economics, Applied Mathematics, Operations Research, Management, or other quantitative discipline highly preferred


Job Family Group:

Risk Management


Job Family:

Risk Analytics, Modeling, and Validation


Time Type:

Full time


Primary Location:

Wilmington Delaware United States


Primary Location Salary Range:

$150,940.00 - $226,410.00


Citi is an equal opportunity and affirmative action employer.

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.

Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

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