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Climate Risk Model Development – Analyst II

India, Bengaluru Employment contract · Job Posted May 05, 2026
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Job Description

Citi’s Risk Modeling Solutions department is responsible for the development, delivery, and monitoring of all credit risk models across Citi’s consumer lending portfolios globally. These models span two core activities; granting and managing credit to individual customers and delivering loss forecasts for stress testing (ex. CCAR), loan loss reserving (ex. CECL), and business planning. The Model/Anlys/Valid Analyst II - C10 position sits within the Global Mortgage Regulatory Model Development team and specifically part of the Modeling Analytics team and is responsible for developing champion/benchmark risk models for Citi's international and U.S. secured portfolios for CCAR, CECL, ICAAP, IFRS9, climate risk, and other regulatory/internal usage.

Job Responsibility

  • Participate in building champion/benchmark models for CCAR, CECL, IFRS9, climate risk, and other regulatory/internal purposes for Citi's international and U.S. secured portfolios
  • Under manager's guidance, perform data cleansing and analysis, identify static and dynamic portfolio drivers and macroeconomic drivers for portfolio risk performances, build PD/EAD/LGD models and conducting statistical analysis and backtests, perform forecast sensitivity analysis and model robustness tests, and provide model implementation and validation support
  • Create Model Development Document for validation and supporting Annual Model Reviews and Ongoing Performance Assessment of implemented models
  • Participate in model revalidation, model change and related documentation and validation support efforts
  • Ensure timely completion of assigned projects with high quality
  • Work closely with cross functional teams, including country/region’s business stakeholders, model validation and governance teams, and model implementation team
  • Prepare responses/presentations to regulatory agencies on all CCAR/CECL/IFRS9/Climate models built

Requirements

  • 2+ years of experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, or econometric modeling and in-depth knowledge on the use of statistical models to solve business problems (years of experience in Master or PhD programs of Statistics, Economics, Finance, Biomedical Engineering or other highly quantitative discipline counts)
  • Past experience of climate risk stress testing or catastrophe modeling preferred
  • Experience of end-to-end credit risk modeling highly preferred
  • Experience of CCAR and CECL preferred
  • Strong programming (SAS, SQL, Python, R, etc.) and quantitative analytics (regression, time series, decision tree, linear/nonlinear optimization etc.) skills preferred
  • Strong communication skills required to translate model design, specification and performance details to technical and non-technical audiences
  • Master’s/University degree or equivalent experience in Economics, Mathematics, Statistics, Finance of other quantitative discipline
  • PhD degree in Statistics, Economics, Finance, Biomedical Engineering or other quantitative discipline preferred

Nice to have

  • Past experience of climate risk stress testing or catastrophe modeling preferred
  • Experience of end-to-end credit risk modeling highly preferred
  • Experience of CCAR and CECL preferred
  • Strong programming (SAS, SQL, Python, R, etc.) and quantitative analytics (regression, time series, decision tree, linear/nonlinear optimization etc.) skills preferred
  • PhD degree in Statistics, Economics, Finance, Biomedical Engineering or other quantitative discipline preferred

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