Risk Model Monitoring Execution Analyst-C09

The Model/Anlys/Valid Analyst I is a trainee professional role. Requires a good knowledge of the range of processes, procedures and systems to be used in carrying out assigned tasks and a basic understanding of the underlying concepts and principles upon which the job is based. Good understanding of how the team interacts with others in accomplishing the objectives of the area. Makes evaluative judgements based on the analysis of factual information. They are expected to resolve problems by identifying and selecting solutions through the application of acquired technical experience and will be guided by precedents. Must be able to exchange information in a concise and logical way as well as be sensitive to audience diversity. Limited but direct impact on the business through the quality of the tasks/services provided. Impact of the job holder is restricted to own job.

• Generate production forecasts for economic scenarios. Produce additional on-demand runs to support analytical requests from peer groups and model sponsors.
• Implement new or enhanced model monitoring report in production environment
• Continuously work to maintain and improve governance controls relates to implementation and production process
• Generate standard reporting, comparison with previous results as well as drill down analytics for productions forecasts.
• Conduct QA/QC on all steps (e.g., macro-economy series, model output, etc.) required for production process.
• Deliver comprehensive write-up of production results and process as per internal and regulatory standards
• Understand model variables and economic forecasts and conduct drill down analysis and reporting of model production forecasts. 
• Perform analysis for benchmark models and other ad hoc analysis as required by business/validation teams
• Work closely with cross functional teams, including country/region’s business stakeholders and model analytics
• Maintain and improve automation solutions for production process
• Ensure timely completion of governance controls and production results under tight timelines

 

• Responsibilities: Qualifications: Education:
  • Develop and implement automated solutions for model monitoring and transformation using tools such as SAS, Excel, Python, Visualization Tool like Tableau
  • Collaborate with cross-functional teams (analytics) to understand model monitoring requirements and reengineer SAS code
  • Design and maintain Data Quality check to ensure accuracy, efficiency, and reliability of model monitoring data.
  • Conduct data analysis to identify trends, patterns, and opportunities for optimization.
  • Generate insights and actionable recommendations based on analytical findings to support strategic decision-making.
  • Create visually compelling dashboards and presentations to communicate key insights to stakeholders.
  • Continuously monitor and improve existing model monitoring processes to enhance efficiency and effectiveness.
  • Ensure timely completion of governance controls and deal tight timelines
  • Master's degree in a quantitative field such as Mathematics, Statistics, Computer Science, or related field.
  • Proven experience in report automation, data transformation, and analytics. –
  • Proficiency in programming languages and tools such as SAS, Python, Excel, Power BI, or similar. 
  • Strong analytical skills with the ability to interpret complex data sets and draw meaningful conclusions.
  • Excellent communication and presentation skills with the ability to convey technical concepts to non-technical stakeholders.
  • Detail-oriented with a focus on accuracy and quality of work.
  • Ability to work independently and collaboratively in a fast-paced environment.
  • Master's degree in a relevant field

This position will focus on the model performance tracking, production and model implementation of CCAR/DFAST/ICAAP and CECL stress loss models for Citi's product portfolios on an US & international basis, including but not limited to leading the following activities:

Roles and 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.

Qualifications

• 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

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

 

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