Citi Group Model/Analysis/Validation/Officer 

United States, New York, New York 

112146237

Duties: Design Climate Risk Models with a focus on transition risk. Conduct credit risk management to analyze portfolio-level transition risks and opportunities associated with the shift to a low-carbon economy. Analyze relevant data and estimates, and calibrate, test and document the models. Leverage Statistical and mathematical methods of derivatives valuation to assess credit losses. Use Python and SQL to implement advanced climate transition risk models, analyze relevant data, and support the model through validation and deployment processes. Support the model through the model validation process and deployment into production. Support model sponsors and business stakeholders to understand model inputs, structure and outcomes. Analyze and document U.S. and international regulatory exercises associated with Climate Risk and perform stress testing. Create tutorials and materials to communicate model use, model structure and analysis. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements: Requires a Master’s degree, or foreign equivalent, in Finance, Financial Engineering, or related field and 2 years of experience as a Model/Analysis/Validation Senior Analyst, Credit Risk Analyst, or related position involving risk model development and implementation for a global bank. 2 years of experience must include: Credit risk management to analyze portfolio-level transition risks and opportunities associated with the shift to a low-carbon economy to manage credit risk and inform the design and calibration of climate risk models. Mathematical modeling and hypothesis testing. Using Python and SQL to implement advanced climate transition risk models, analyze relevant data, and support the model through validation and deployment processes. Documenting the mathematical models and code to ensure that model inputs, structure and outcomes are clearly communicated to model sponsors, business stakeholders, auditors, and regulators. Assessing credit losses and integrating findings into the climate risk models, supporting robust quantitative risk assessments. Statistical and mathematical methods of derivatives valuation; and Big data and Python libraries, including Pandas, NumPy and SciPy, for data analytics and analysis of relevant data, estimation, calibration, and stress testing of climate risk models, ensuring accuracy and reliability. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID # 25843686. EO Employer.

Wage Range: $179,549 to $200,000

Anticipated Posting Close Date:

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