Vp Wholesale Stress Testing Model Risk Analytics - New York, United States - Citi

Citi

Verified Company

New York, United States

2 weeks ago

Posted by:

Mark Lane

beBee recruiter

Description

Wholesale stress testing is a newly created team within Wholesale Credit Risk Management, whose purpose is to identify, measure and monitor vulnerabilities of obligor, collaterals, and concentration in stress scenarios.

A new BAU stress testing framework has been implemented to consolidate and govern stress loss calculations across sub line of business to ensure consistency in methodology & scenario design.

This senior position will report to head of wholesale stress testing and support end to end stress testing processes with excellent quantitative and technical skills

Responsibilities:

Perform quarterly gap assessment between scenario coverage and material risk inventory.
Communicate and present the impact of scenario changes on model outputs to senior business leaders
Execute periodic stress testing exercises to monitor WCR's risk appetite and identify vulnerable areas.
Provide analytics support to explain the stress test outcome for wholesale lending products.
Partner with business units and risk managers to assess data availability and fit for purpose modeling approaches.
Interact with model developers, model risk governance, business risk, internal audit.
Leverage business / product expertise to evaluate and challenge the stress loss assumptions in hypothetical and historical stress scenarios.
Gather and analyze portfolio and macroeconomic data to assess potential impact on business performance and integrate the trends to the portfolio loss forecast.
Research on 3rd party data, loss history and alternative models to build inventory of benchmarks.
Develop deep expertise in stress testing methodologies and validate fit for purpose usage in BAU stress testing management.
Contribute and refine current model performance monitoring process to interpret model output and identify opportunities for future improvements.
Create a new scenario design capability leveraging existing models & data to translate emerging risk to economic scenarios, model inputs or portfolio shocks.
Build tools & analytical capabilities to support outcome analysis, loss forecasting reports and what if analysis.
Works with large datasets and complex algorithms to derive analytical insights, identify data quality issues and support trend analysis.
Leverages big data to develop innovative deployable solutions.

Qualifications:

5+ years' experience working in financial institutions.
Excellent quantitative and analytic skills; ability to derive patterns, trends and insights, and perform risk/reward tradeoff analysis.
Experience with analytical or data manipulation tools (e.g. Python, Tableau, R) Proficient with MS Office suite.
Past experience working on model analytics, back testing, benchmarking and challenger function.
Knowledge on scenario design, sensitivity shocks and risk identification process
Good interpretations skills to convey complex quantitative methodology in simple terms.

Education:

Bachelor's/University degree in finance, accounting, economics, math or engineering or equivalent experience, potentially Masters degree
Completion of progress towards FRM or CFA is 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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Primary Location:

New York New York United States
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Primary Location Full Time Salary Range:
$142, $213,480.00

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Anticipated Posting Close Date:

Apr 25, 202- Citi is an equal opportunity and affirmative action employer.

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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