AVP Model Analysis Senior Analyst - Stress Testing (Hybrid)

This position is to support the Global Systematic Stress Testing (GSST). GSST is Citi's internal enterprise-wide stress testing program. The GSST program enables Citi to measure stress loss across all market, credit and operational risk categories aligned with Citi’s risk taxonomy. All material risk exposures across these risk categories are stressed in the program.

Key Responsibilities:

• Work with business/risk stakeholders, modeling, IT and risk reporting to design a frequent, flexible and scalable process for GSST for retail credit risk and/or operational risk
• Integrate scenarios and portfolio data with model execution in production to produce stress test model outputs
• Interpret stress testing results and conduct analyses to address any questions about the results
• Design and conduct attribution and trending analysis
• Design and conduct sensitivity analysis to test variables, assumptions, and other relevant model performance metrics
• Serve as connection point between the business and technology when defining business requirements for infrastructure enhancements
• Establish and monitor data quality controls to enable completeness, consistency and quality around data attributes uses for stress testing purpose

Qualifications:

• Masters and above degree in a quantitative discipline such as mathematics, financial engineering, physics, statistics, computer science
• 2+ years of experience in risk analytics, modeling, or quantitative programming roles in a financial institution
• Experience in retail credit risk and/or operational risk
• Experience in stress testing and/or loss forecasting
• Effective communicator, self-starter, and team player
• Proficiency in Python and SQL

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In addition to salary, Citi’s 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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Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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