VP Model/Anlys/Valid Officer

The Vice President role of global secured portfolio model development reports to a manager of risk analytics and modeling within the Risk Modeling Solutions (RMS) of In Business Franchise Risk PBWM.

This role requires in-depth knowledge of climate risks and relevant regulatory policies, thorough understanding of advanced academic and industrial studies of climate and catastrophe modeling, and excellent communication to work in a multidisciplinary team. The successful candidate will be responsible for developing climate and catastrophe models to assess the impacts of climate changes.  This individual will also be responsible for adopting climate change impact onto the champion regulatory credit risk models (PD, LGD, EAD) for Citi's international and U.S. secured portfolios.
 

Responsibilities:

• Under manager’s guidance, lead climate risk project for both physical and transition risks.  Responsibilities include developing, enhancing, and validating the methods of measuring and analyzing climate risk including climate and catastrophe (CAT) models
• Advise senior leadership on state of art climate peril and CAT modeling methodology, industry data source, public resources, and vendor/public models for Federal Reserve’s Climate Scenario Analysis (CSA) or international regulatory Climate Risk Stress Tests (CRST)
• Incorporate climate impact into risk identification and stress testing for retail real estates. Under manager’s guidance, lead projects with the overarching responsibility of adapting champion/benchmark mortgage credit risk models for climate risk stress test
• Collaborate with external vendors and internal Second Line of Defense (2LOD) and Third Line of Defense (3LOD) on the selection and sourcing of hazard, exposure, vulnerability, and on the design and implementation of climate risk assessment features and products
• Under manager’s guidance, lead data analysis, statistical analysis and backtests, forecast sensitivity analysis and model robustness tests, preparation of  model documentation.  Provide model implementation and validation support on development, validation, and ongoing assessment
• Ensure timely completion of assigned projects with high quality
• Work effectively in cross-functional teams, interacting with key stakeholders regularly to update progress, gather feedback and perform required analytics
• Create impactful presentations to communicate analytical findings to a wide array of audiences that will facilitate understanding of model performance and usage
• Interact with senior levels of management to facilitate understanding of usage of risk models and inform critical decisions
• Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency

Qualifications:

• In-depth knowledge of industry and academic climate and CAT modeling methodology, climate data sources, vendor/public weather and CAT models
• 2+ years of climate risk stress testing or catastrophe modeling required
• 6+ years’ experience (2+ years' experience if PhD of Statistics, Economics, Finance, Biomedical Engineering or other highly quantitative discipline) in performing quantitative analysis and in-depth knowledge on the use of statistical models to solve business problems.
• Deep knowledge of the mortgage business and regulatory stress tests preferred
• Familiarity with the application of statistical modeling concepts in addressing International and US risk modeling needs preferred
• Advanced knowledge of SAS/SQL, STATA, PYTHON, R or C programming. 5+ years of SAS experience highly preferred
• Strong communication skills required to translate model design, specification and performance details to technical and non-technical audiences

Education:

• Bachelor’s/University degree or equivalent experience
• PhD degree in Climatology or Atmospheric Sciences with strong statistical background highly preferred.
• PhD degree in Statistics, Economics, Applied Mathematics, Operations Research, Management, or other quantitative discipline preferred

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Job Family Group:

Risk Management

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