MRM Climate Risk Model Validation - C10

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• Role Overview

  
  

  We are seeking a Junior Climate Risk Model Validator to join our Model Risk Management (MRM) team at Citi Bank, Gurgaon. The ideal candidate will have 2-5 years of experience in model validation. A strong background in climate risk is a plus. Proficiency in Python and solid banking knowledge are highly desirable. Experience with regulatory models will be an added advantage.

  
  

  Key Responsibilities

  
  
• Conduct in-depth validation of climate risk models, ensuring compliance with regulatory standards and internal policies.
• Perform rigorous backtesting, sensitivity analysis, and scenario analysis to assess model performance.
• Collaborate with senior validators to identify and document model limitations and suggest improvements.
• Prepare detailed validation reports, including Executive Summaries, Assumption Assessments, and Model Performance evaluations.
• Support the automation of validation processes and tools to enhance efficiency and accuracy.
• Engage with stakeholders across the bank to discuss validation findings and implications.
• Stay updated with regulatory requirements and industry best practices in climate risk modeling.
• Qualifications

• Master’s degree in any field.

  
  
• 2- 5 years of experience in model validation.
• Strong analytical and quantitative skills, with proficiency in statistical modeling techniques.
• Experience with Python for data analysis, modeling, and automation.
• Good understanding of banking products, market risk, and credit risk.
• Excellent written and verbal communication skills, with the ability to present complex concepts clearly.
• Strong attention to detail and the ability to work independently as well as in a team.

• Preferred Skills

  
  
• Background in climate risk modeling. Knowledge in credit risk and macro-economic forecasting models is an added advantage.
• Experience with regulatory models.
• Familiarity with regulatory guidelines related to climate risk and model risk management.
• Experience with programming languages or data analysis tools such as SAS, R, Python, etc. 
• Knowledge of advanced modeling techniques and Generative AI.
• Strong project management skills and the ability to handle multiple tasks and deadlines.

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