Stress Loss Quantification Manager - C11

This position is in the Stress Loss Quantification team, which is a part of Risk Modeling Solutions unit.

Responsibilities:

• Document end-to-end methodology for Rapid Stress Testing
• Implement a quarterly process for gap assessment between the Material Risk Inventory and scenario suite.
• Implement process to update scenarios based on quarterly gap assessment.
• Implement governance for stress testing program.
• Design regular assessment of adequacy of models to translate scenarios into stress impact
• Develop and implement infrastructure and process to source data and establish data quality controls.
• Develop and implement infrastructure to execute stress tests and process to report results with appropriate cadence.
• Establish process to review and overlay stress test results.
• Define use of stress testing to drive risk management actions.
• Facilitate Review and Challenge with Independent Risk.
• Execute controls for Stress Testing Program and include in MCA process Develops, enhances, and validates the methods of measuring and analyzing risk, for all risk types including market, credit and operational. Also, may develop, validate and strategize uses of scoring models and scoring model related policies.
• Manages model risk across the model life-cycle including model validation, ongoing performance evaluation and annual model reviews.
• Produces analytics and reporting used to manage risk for Citi's operations.
• Translates operational requests from the business into programming and data criteria and conduct systems and operational research in order to model expected results.
• Assists in the development of analytic engines for business product lines.
• Communicates results to diverse audiences.
• Conducts analysis and packages it into detailed technical documentation report for validation purposes sufficient to meet regulatory guidelines and exceed industry standards.
• Participates on teams to solve business problems.
• Identifies modeling opportunities that yield measurable business results.
• Manages stakeholder interaction with model developers and business owners during the model life-cycle.

Qualifications:

• 4-7 years experience
• Proficient in Microsoft Office with an emphasis on MS Excel
• Consistently demonstrates clear and concise written and verbal communication skills
• Self-motivated and detail oriented
• Demonstrated project management and organizational skills and capability to handle multiple projects at one time .
• Practical experience using SAS or similar statistical coding software to build and test prediction models. comfortable interfacing with business clients. proficiency handling very large data sets.
• Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation.
• Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models.

Education:

• Bachelor’s/University degree or equivalent experience, potentially Masters degree

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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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