Wholesale Credit Risk Stress Testing Analyst, AVP

2 weeks ago

Irving, Texas, United States Citigroup Inc Full time

Position Overview:

The Wholesale Stress Testing team at Citigroup Inc. is seeking an AVP-level professional to enhance our analytical capabilities. This team's mission is to pinpoint, evaluate, and oversee the vulnerabilities associated with obligors, collateral, and concentration during stress scenarios. A new Business As Usual (BAU) stress testing framework has been established to unify and regulate stress loss calculations across various sub-lines of business, ensuring methodological consistency and scenario design integrity.

Key Responsibilities:

  • Conduct monthly stress testing exercises to evaluate the risk appetite of Wholesale Credit Risks (WCRs) and identify areas of concern.
  • Manage essential processes related to rapid stress testing and overlays.
  • Offer analytical support for stress test models pertaining to wholesale products, linking the outcomes of stress testing to model drivers.

Additional Responsibilities:

  • Develop tools and analytical capabilities to facilitate outcome analysis, loss forecasting reports, and scenario analysis.
  • Collect and analyze portfolio and macroeconomic data to evaluate potential impacts on business performance, integrating trends into portfolio loss forecasts.
  • Collaborate with business units and risk managers to assess data availability and appropriate modeling approaches.
  • Engage with model developers, model risk governance, business risk, and internal audit teams.
  • Utilize business and product expertise to critically assess stress loss assumptions in both hypothetical and historical stress scenarios.
  • Research third-party data, loss history, and alternative models to create a benchmark inventory.
  • Contribute to and enhance the current model performance monitoring process to interpret model outputs and identify future improvement opportunities.

Qualifications:

  • Minimum of 2 years' experience in stress testing (CCAR/DFAST), CECL, or loss forecast model development.
  • At least 2 years' experience with data analytical tools such as Python or R.
  • Strong understanding of Commercial & Industrial (C&I) and Commercial Real Estate (CRE) loss forecast modeling analytics, including Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models; experience in Held for Sale (HFS) and Fair Value Option (FVO) is preferred.
  • Proven experience in developing analytical tools to support the analysis of loss forecasting results, utilizing Tableau, Excel, R Shiny, or Python.
  • Exceptional quantitative and analytical skills; ability to identify patterns, trends, and insights, and conduct risk/reward trade-off analyses.
  • Proficient in Microsoft Office Suite, including Word, Excel, and PowerPoint.
  • Knowledge of scenario design, sensitivity shocks, and risk identification processes.
  • Strong communication skills to convey complex quantitative methodologies in accessible terms.

Education:

Bachelor's degree or equivalent experience, preferably a master's degree in Economics, Finance, or a quantitative discipline.

Job Family Group: Risk Management

Job Family: Risk Analytics, Modeling, and Validation

Time Type: Full time

Salary Range: Competitive salary with additional benefits including medical, dental, and vision coverage; 401(k); life, accident, and disability insurance; and wellness programs.

Citi is an equal opportunity and affirmative action employer. Qualified applicants will receive consideration without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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