Citi Group AVP Risk Model Analysis Developer Hybrid 

United States, Florida, Tampa 

715416653

The hiring team consists of lead model developers responsible for developing risk capital methodologies covering most areas, including banking book credit risk and interest rate risk, trading book counterparty credit risk and market risk, and retail credit risk. The role to be filled would be responsible for leading the re-development effort for risk capital models covering Citi’s retail business. The qualified candidate should work in the capacity as a key model developer responsible for handling the end-to-end process through the life cycle of model development and maintenance. More specifically, the candidate would be responsible to

• Investigate and identify the appropriate methodology changes required for retail risk capital calculation under the new regulatory environment
• Assess and socialize the RC impact with key stakeholders including mode sponsors, risk management, and model validators.
• Document model changes and work with model validators to validate the methodologies.
• Implement model changes and work with IT to build the pipelines for production and analytic tools for model performance analysis.
• Lead the model maintenance work, monitor model performance, and support production process and BAU for retail RC.

Apart from the responsibilities outlined above, a qualified and motivated candidate may also collaborate with his/her colleagues of this team and extend the scope of responsibilities into developing risk capital models for other areas.

Qualifications:

• Master and above degree in a quantitative discipline such as mathematics, financial engineering, physics, statistics, computer science, etc.
• 3+ years of experience in analytics or quantitative model development roles in financial institutions.
• Knowledgeable in modeling framework for credit risk, default correlation, and counterparty default dynamics.
• Knowledge of Basel PD/LGD/EAD methods for retail is preferred.
• Knowledge of risk capital and stress testing concepts is preferable
• Proficient in C++/C or Python. Experience with implementing analytical user tools is a plus.
• Strong communicator, self-starter, and team player. Eagerness & ability to grasp complex analytical or mathematical concepts quickly.

Anticipated Posting Close Date:

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