Global Systematic Stress Testing GSST program is an enterprise-wide stress testing program with a monthly cadence. The program is compliant with Citis Enterprise Stress Testing Policy that interprets applicable regulatory guidance on stress testing and incorporates this guidance when evaluating the impact of stress events and adverse macro and market conditions on Citis operations and financial performance. The primary use is to monitor stress loss usage against the WCR Capital-Based Stress Loss Limits established by the Risk Appetite and Limits (RAL) Program.

One of the wholesale team in ERA responsibilities is to analyze, explain the stress loss results, and to perform the attribution analysis for senior management. Ability to understand various risk models especially the wholesale credit risk models and to identify various factors for example macroeconomic, financial variables that affect the forecast stress loss results are very important.

The position also requires in-depth understanding of how various areas at Citi collectively integrate within the sub-function, as well as coordinate and contribute to the objectives of the entire ERA functions. Developed communication and diplomacy skills are required in order to navigate obstacles, convey messages effectively, and drive results and conclusion for the team.

Key Responsibilities:

• Develops, enhances, and validates the methods/analytical capabilities of measuring and analyzing GSST stress testing RAP stress loss results, for all risk types including credit, market and operational. The analytical capabilities for attribution analysis should also meet the internal and external stakeholders needs.
• Assists in the development of loss results analytics engines for ERA, willing to expand scope in supporting peers.
• Develops SME knowledge in the GSST models especially for Credit and Market. Expected initial area of focus: GSST wholesale models and Market Non-Trading models.

• Engages in implementing stress testing models, with active engagement of key internal stakeholders in Credit Risk, Market Risk, Country Risk, Treasury, Finance and Business.
• Supports production GSST model inquiries from internal stakeholders and regulators
  Test model performance, implement testing suites for new and existing models.
• Assists in UAT testing efforts and document requirements for new/enhanced GSST model implementations. Establish automated testing processes for model enhancements testing.
• Partners with Technology and Project Management Group to implement model change and capability enhancing projects
• Willing and able to make an impact by working on critical time sensitive reporting requests that can have a deadline ranging from a few hours to EOD (End of Day) from senior management while ensuring that the highest quality of data accuracy, insight and presentation quality is maintained.
• Executive ad-hoc reports and analyses for senior risk and finance management.
• Utilizes visual analytics platforms such as Tableau to automate existing reporting processes and quickly embark on new reporting with a strategic automation-based mindset while collaborating effectively with technology and other risk partners on creating effective data structures.

Qualifications:

• Masters degree in a quantitative discipline (i.e. Math, Physics, Statistics)
• 5-8 years of experience in an analytics/quantitative research roles in a financial institution, model development experience a plus.
• Knowledgeable about risk measurement and models in market risk of banking book or wholesale credit risk ideally both
• Proficient in C/C++, Python, R, Excel VBA and/or other statistical/programming languages
• Ability to navigate through complex data and infrastructure environment
• Proficiency in handling very large data sets using any data analytics tools
• Strong communicator, self-motivator, and team player
• Eagerness & ability to grasp complex analytical or mathematical concepts quickly
• Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models a plus
• Exceptional candidates who do not meet all these criteria may be considered for the role provided they have the necessary skills and experience

Education:

• Masters Degree or equivalent in a quantitative field required (Mathematics, Statistics, Financial Engineering, Quantitative Finance etc.) with 5+ years of Quantitative experience.

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In addition to salary, Citis offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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