AVP, RISK MODEL ANALYSIS DEVELOPER (HYBRID)

Risk Capital is a firm-wide metric to access the economic risk at the consolidated Citigroup and CBNA levels. It is a key capital adequacy metric for Citigroup and its major legal entities, and is used in various risk areas to set risk limits for monitoring the firms risk footprint across different business, products, and regions.

The hiring team consists of lead model developers responsible for developing risk capital methodologies covering most areas, including banking book credit risk and interest rate risk, trading book counterparty credit risk and market risk, and retail credit risk.

The role to be filled would be responsible for leading the re-development effort for risk capital models covering Citis retail business.

The qualified candidate should work in the capacity as a key model developer responsible for handling the end-to-end process through the life cycle of model development and maintenance.

More specifically, the candidate would be responsible to

• Investigate and identify the appropriate methodology changes required for retail risk capital calculation under the new regulatory environment
• Assess and socialize the RC impact with key stakeholders including mode sponsors, risk management, and model validators.
• Document model changes and work with model validators to validate the methodologies.
• Implement model changes and work with IT to build the pipelines for production and analytic tools for model performance analysis.
• Lead the model maintenance work, monitor model performance, and support production process and BAU for retail RC.

Apart from the responsibilities outlined above, a qualified and motivated candidate may also collaborate with his / her colleagues of this team and extend the scope of responsibilities into developing risk capital models for other areas.

Qualifications :

• Master and above degree in a quantitative discipline such as mathematics, financial engineering, physics, statistics, computer science, etc.
• 3+ years of experience in analytics or quantitative model development roles in financial institutions.
• Knowledgeable in modeling framework for credit risk, default correlation, and counterparty default dynamics.
• Knowledge of Basel PD / LGD / EAD methods for retail is preferred.
• Knowledge of risk capital and stress testing concepts is preferable
• Proficient in C++ / C or Python. Experience with implementing analytical user tools is a plus.
• Strong communicator, self-starter, and team player. Eagerness & ability to grasp complex analytical or mathematical concepts quickly.

Job Family Group :

Business Strategy, Management & Administration

Job Family : Business Management

Business Management

Time Type : Full time

Full time

Primary Location :

Tampa Florida United States

Primary Location Full Time Salary Range :

$87,280.00 - $130,920.00

In addition to salary, Citis 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.

Anticipated Posting Close Date :

Aug 14, 2024

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 (https : / / www.

citigroup.com / citi / accessibility / application-accessibility.htm) .

View the EEO is the Law (https : / / www.dol.gov / sites / dolgov / files / ofccp / regs / compliance / posters / pdf / eeopost.

pdf) poster. View the EEO is the Law Supplement (https : / / www.dol.gov / sites / dolgov / files / ofccp / regs / compliance / posters / pdf / OFCCP EEO Supplement Final JRF QA 508c.pdf) .

View the EEO Policy Statement (http : / / citi.com / citi / diversity / assets / pdf / eeo aa policy.pdf) .

View the Pay Transparency Posting (https : / / www.dol.gov / sites / dolgov / files / ofccp / pdf / pay-transp %20English formattedESQA508c.pdf)

Citi is an equal opportunity and affirmative action employer.

Minority / Female / Veteran / Individuals with Disabilities / Sexual Orientation / Gender Identity.