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Citibank, N.A. seeks a Model/Analysis/Validation Senior Analyst for its Irving, Texas location. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.
Job Responsibility:
Develop methodologies for testing model and portfolio robustness, stability and performance to support credit risk analysis and risk rating assessment
Perform reliability analysis to identify and resolve data quality issues
Use statistical analysis tools Python, SAS and SQL to review advanced credit models used for risk rating processes
Develop and maintain technical documentation for best risk rating practices and processes, including project plans, model descriptions, portfolio risk practices, derivations, data analysis, process and quality controls
Lead reviews and performance-testing for credit-risk rating process and rating methodologies
Evaluate internal and external practices, including rating agency write-ups, Basel and local regulatory requirements, industry analysis, and internal research
Write portfolio risk rating studies regarding the probability of default, source of obligor risk ratings, subsidiary analyses and benchmarking to external rating agencies as needed
Evaluate judgmental risk ratings to determine if underlying process is acceptable
Collaborate in the analysis and interpretation of results, and incorporate feedback into models and risk rating processes
Provide timely and accurate responses to stakeholders regarding banking products, and queries on models, methodologies and bespoke structures
Interact with model validation teams, auditors and regulatory reviewers to ensure compliance
Address identified issues to maintain the integrity of our risk management framework
Develop and deliver comprehensive training materials, presentations, and reports on credit risk analytics for technical and non-technical audiences
Communicate findings and recommendations to stakeholders
Requirements:
Master’s degree, or foreign equivalent, in Finance, Statistics, or related field and 3 years of experience as a Model Risk Auditor, Model Validator, Senior Analyst, or related position involving statistical analysis and financial modeling to assess risk
Alternatively, employer will accept a Bachelor’s degree in the stated fields and 5 years of the specific progressive post-baccalaureate experience
3 years of experience must include: Data preprocessing, analysis, and modeling using Python libraries
Evaluating risk metrics and factors, including probabilities of default and Loss Given Default (LGD) trends, financial ratios, borrower characteristics, and macroeconomic indicators
Developing Python scripts and notebooks to automate data processing tasks and generate visualizations
Analyzing credit risk rating to assess accuracy, reliability, and predictive power
Evaluating the performance of credit risk rating systems through statistical metrics
Writing SQL queries and utilizing SQL functions to extract, transform, aggregate and validate data
Database management and administration
Financial modeling to analyze credit risk, financial performance, and business outcomes
Quantifying credit risk, assessing risk exposure, and estimating key risk metrics utilizing statistical analysis, modeling, and methods
Conducting comprehensive studies to assess portfolio risk
Tableau to create interactive and dynamic dashboards, charts, and graphs, and provide insight into credit risk
Integrating Python and R for advanced analytics and statistical modeling to enhance credit risk analysis with predictive modeling techniques and machine learning algorithms
What we offer:
medical, dental & vision coverage
401(k)
life, accident, and disability insurance
wellness programs
paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays
discretionary and formulaic incentive and retention awards