MRM Loss Forecasting Model Validation, Citi

Citi

Location:
India, Mumbai

Category:
Finance

Contract Type:
Not provided

Salary:

Not provided

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Job Description:

The Risk Analytics, Modeling and Validation role involves the development, enhancement, and validation of methods for measuring and analyzing the credit risk. In areas related to credit risk, individuals in this role develop, enhance, and validate models for measuring losses for mortgage portfolios. They also develop and maintain key risk parameters like default and rating migration data, usage given default data and transition matrices. This role is vital to the company as it provides a scientific and systematic approach to assessing and mitigating risks, thereby ensuring the company's financial stability, protecting its assets, and supporting its overall business strategy.

Job Responsibility:

Perform model validations, annual model reviews, ongoing monitoring reviews (on Low and Medium Model Risk Rating (MRR) models) and model limitation remediation reviews for one or more model / product type (e.g., precious metals models) under the supervision of a Validation Lead (VL) for Mortgage loss forecasting models
Provide effective challenge to the model development process on Low / Medium MRR models in the specific model / product type, in accordance with the Citi Model Risk Management Policy
Evaluating testing approach and results for individual models in accordance with MRM guidance
Assessing the ongoing performance monitoring of the models
Contributing to regulatory and internal audit related responses
Collaborating with other teams within Risk and the Business regarding qualitative models to facilitate compliance with our policies, procedures, and guidance
Assisting with preparing the reports and other meeting materials to MRM senior management
Supporting the process of designing, developing, delivering, and maintaining best-in-class qualitative model validation process standards, guidance, practices, templates, and other documentation

Requirements:

4+ years of experience
Experience in Quantitative Finance, Risk management, Analytics, Model Development or Model Validation is preferred
Excellent partnership and teamwork skills
Programming skills in languages like SAS, Python,VBA or other coding language as need
Knowledge of mortgage product and financial markets
Extensive experience in data analysis and interpretation and technical writing
Strong technical skills such as solid knowledge of time series analysis, statistics and econometrics
Strong analytical skills
Excellent communication and diplomacy skills
Ability to evaluate complex and variable issues
Ability to influence decisions and provide expert advice
Strong problem-solving skills
Ability to work effectively in a team and independently
Project management skills, with the ability to manage multiple tasks and deadlines
Proficiency in data analysis and interpretation
Ability to identify inconsistencies in data or results and define business issues
Ability to formulate recommendations on policies, procedures, or practices
Attention to detail and the ability to make informed judgments based on information
Master’s degree in Maths, Statistics, Economics, Finance etc.

Additional Information:

Job Posted:
August 09, 2025

Employment Type:

Fulltime

Work Type:

On-site work

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MRM Loss Forecasting Model Validation