The Model/Anls/Valid Sr OfficerII is a strategic professional who closely follows latest trends in own field and adapts them for application within own job and the business. Recognized subject matter expert within one area. Strong commercial awareness is a necessity. Is an acknowledged authority both within and outside area of expertise. Typically a small number of people within the business that provide the same level of expertise. Excellent communication skills required in order to negotiate internally, often at a senior level. Some external communication is typically required. Provides advanced judgment and conducts in-depth quantitative or qualitative analysis to solve problems and develop new, innovative solutions. Required to think beyond existing solutions, assumptions or current knowledge of sophisticated areas. Significant impact on a function and/or the business through making decisions that determine technical approaches and strategies for the area.

Responsibilities:

The successful candidate will join the Scenario Expansion Team (SET) in DART. SET is responsible for the development, implementation, and support of scenario expansion models involved in stress testing at Citi.

The newly created senior role will report to the head of Modeling Change and Innovation (MCI) in DART and will lead and be responsible as Model Sponsor Delegate for the oversight of model execution, review and model overlay processes for scenario expansion models used in CCAR, CECL, and other internal and regulatory stress exercises. A key aspect of the role will be to ensure that model implementation, model use, model performance (Ongoing Performance Assessments) and overlays are in compliance with internal model risk management policies established by MRM that govern the responsibilities of Model Sponsors at Citi, including controls, reviews, outcome analysis, and documentation. The Model Sponsor Delegate role will also extend to ensuring that the development of new scenario expansion models, frameworks and implementation meet the growing demand and expanding role of stress scenarios for risk management and financial reporting at Citi.

The Model Sponsor Delegate will leverage the Scenario Expansion Team (SET) and established production processes to perform required tasks. This individual contributor role will have indirect responsibilities coordinating and leveraging the work of about 20 modelers involved with the scenario expansion models and execution, with several cross-function responsibilities across technology, finance, and risk. The position requires a close interaction and coordination with stakeholders across the Risk and Finance functions as well as an effective partnership with Enterprise Risk Management teams within Risk as well as with the business side.

The role requires independent thinking, decision, and negotiation skills, and taking ownership of the end product (scenario outcome, compensating controls, overlays).

Scenario Expansion Model Sponsor Responsibilities

• The model sponsor responsibilities include, but are not limited to:
  • Communicate key aspects of scenario expansion models to various stakeholders, including senior management, auditors, and regulators.
  • Engage with 1LoD, 2LoD and Model Risk Management to ensure that approaches and methodologies are well-understood and consistent with model risk management policies.
  • Oversight of the quarterly scenario expansion process covering 7 scenarios, over 4,000 variables, and 24 models
  • Review, validate, and document overlays used as compensating controls for a large fraction of scenario variables.
  • Chair and moderate the quarterly forums for review by stakeholders, including interaction with the CPRG Review and Challenge function of CCAR and CECL scenarios.
  • Ensure the models are used, developed, documented, and maintained in compliance with model risk management policies and controls.
  • Review model documentation content, OPA plans, OPA workflows and outcomes.
  • Work with the scenario expansion modeling teams on new requirements, including improvements and simplification, operating environment, and controls.

Scenario Expansion Platform and Model Development

• The role will report to the head of Modeling Change and Innovation (MCI), and will assist in managing the end-to-end scenario expansion process, as well as developing a strategy for further model simplification and adoption – in particular:
  • Engage workstreams and 2LoD partners to review model performance, variable inventory, and updated requirements with a view to simplify models, reduce the number of overlays and forecasted variables, and shorten execution time.
  • Explore with modeling teams the structure of expansion models, look for efficient dimension reduction techniques, prioritize building model components with strong economic/business intuition and robust relationships.
  • Explore with execution and implementation teams to achieve standardization benefits, model hand-off procedures, automation of model performance testing, and other model governance tasks.
  • Work with the head of MCI, and scenario expansion modeling leads, to establish and execute on a multiple year plan to revamp and improve the scenario expansion platform.

Qualifications:

• Advanced degree in Financial Forecasting, Financial Modeling and/or Macroeconomics or in a science field with practical experience in Risk Modeling
• 10+ years experience in model development roles or academia
• Regulated banking experience, in a Risk function, preferably in stress testing exercises, economic forecasting and capital budgeting
• Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models
• Senior interaction in a large organization, demonstrated ability to take ownership and make decisions, consensus promotion skills, strong control ethics
• Demonstrated project management and organizational skills and capability to handle multiple projects at one time
• Consistently demonstrates clear and concise written and verbal communication skills
• Extensive knowledge of a diverse set of products that exist in financial institution. Deep understanding of financial institution risk and business.
• Self-motivated and detail oriented

Education:

• Doctoral degree/post-doctoral research in one or more fields of science, financial economics, financial engineering, statistics, or another quantitative field

-

Job Family Group:

-

Job Family:

-

Time Type:

-

Primary Location:

-

Primary Location Salary Range:

-

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.

View the "EEO is the Law" poster. View the EEO is the Law Supplement.

View the EEO Policy Statement.

View the Pay Transparency Posting