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.
**Responsibilities:**
Position responsibilities include but not limited to the following activities:
+ 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 robu...
**Responsibilities:**
Position responsibilities include but not limited to the following activities:
+ 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 robu...
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