- 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.
- 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.
- 5+ years' risk management experience working in financial institutions.
- Knowledge on scenario design, sensitivity shocks and risk identification process
- Good interpretations skills to convey complex quantitative methodology in simple terms.
- Experience with analytical or data manipulation tools (e.g. Python, Tableau, R) Proficient with MS Office suite.
- Past experience working on credit model analytics, back testing, benchmarking or challenger function.
- 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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VP Wholesale Stress Testing Analytics
1 week ago
Citigroup Inc New York, United StatesWholesale 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 c ...
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VP Wholesale Stress Testing Analytics
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Hispanic Technology Executive Council New York, United StatesWholesale 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 c ...
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Citigroup Inc New York, United StatesWholesale 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 c ...
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VP Wholesale Stress Testing Analytics - New York, United States - Citi
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:
Job Family Group:
Risk Management
Job Family:
Risk Analytics, Modeling, and Validation
Time Type:
Full time
Primary Location:
New York New York United States
Primary Location Full Time Salary Range:
$142, $213,480.00
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 Available offerings may vary by jurisdiction, job level, and date of hire.
Anticipated Posting Close Date:
May 08, 2024
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.
Citigroup Inc. and its subsidiaries ("Citi") invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi .
VP Wholesale Stress Testing Analytics professionals in New York City
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Yasir Iqbal
Client Finance Manager