Risk Model Monitoring Execution Analyst, Citi

Citi

Location:
India, Bengaluru

Category:
-

Contract Type:
Employment contract

Salary:

Not provided

Save Job

Apply Position

Job Description:

The role involves tracking, production, and implementation of CCAR/DFAST/ICAAP and CECL stress loss models for Citi's product portfolios on a US & international basis. Key responsibilities include quarterly model performance tracking, back-testing, sensitivity analysis, and diagnostic analytics, as well as annual reviews and documentation of all model-related activities.

Job Responsibility:

Obtain/implement model from model development to production environment, and obtain updated data from countries/regions and/or Risk Architecture to run primary & benchmark CCAR models
Document all production related activities around production/model implementation/performance tracking
Run quarterly model prediction performance back-testing and sensitivity analysis against accuracy and other required model performance triggers for production models
When performance shifts are observed, perform diagnostic analytics around drivers on the models
Document & review base and stress CCAR model performance with assigned countries & regions quarterly and assist countries and regions in their use of the CCAR/DFAST models in business activities such as loss forecasting/benchmarking their loss forecasts and assessing the risk of various lending segments (i.e., Risk Appetite)
Review model performance and drivers of any gaps or deterioration in model performance with MRM, IRMO, and regional and country risk managers
Perform full, formal annual model review to follow MRM’s guidance and standards

Requirements:

Degree in Statistics, Applied Mathematics, Operations Research, Statistics, Economics, or other highly technical quantitative discipline
0 to 2 years’ experience in developing or tracking quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and econometric modeling of consumer credit risk
Strong working knowledge in SAS Programming, ability to code from scratch, automate SAS processes etc.
Strong working knowledge in UNIX environment, working on FTP sessions (Putty/Tectia etc.)
Expertise in successfully executing either the model development or model performance tracking components of an analytical, econometric modeling-driven stress loss process
Expertise in running model implementation and model tracking processes across consumer products and/or business lines
Expertise in delivering technical presentations to countries, regions, internal modeling oversight functions, external regulators (e.g., FRB, OCC, FDIC), and internal audit functions
Strong capabilities in communicating technical information verbally and in writing to both technical and non-technical audiences
Candidates who have performed comparable functions to those listed above for significant, complex financial institutions at a consulting company, vendor, or service provider would be strongly considered as well
Tableau, Advanced Excel, VBA Automation programming is preferred
Proficient understanding of code versioning tools such as BitBucket, Job Scheduling in Autosys is considered a plus

Nice to have:

Tableau
Advanced Excel
VBA Automation programming
Proficient understanding of code versioning tools such as BitBucket
Job Scheduling in Autosys

Additional Information:

Job Posted:
April 25, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

View All Jobs In This Company

Job Link Share:

Risk Model Monitoring Execution Analyst