Job Description
About the position Citibank, N.A. seeks a Model/Analysis/Validation/Officer for its New York, New York location. The role involves designing Climate Risk Models with a focus on transition risk, conducting credit risk management to analyze portfolio-level transition risks and opportunities associated with the shift to a low-carbon economy. The officer will analyze relevant data and estimates, calibrate, test, and document the models. They will leverage statistical and mathematical methods of derivatives valuation to assess credit losses and use Python and SQL to implement advanced climate transition risk models, analyze relevant data, and support the model through validation and deployment processes.
Additionally, the officer will support model sponsors and business stakeholders to understand model inputs, structure, and outcomes, analyze and document U.S. and international regulatory exercises associated with Climate Risk, and perform stress testing. The role also includes creating tutorials and materials to communicate model use, model structure, and analysis. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.
Responsibilities • Design Climate Risk Models with a focus on transition risk. • Conduct credit risk management to analyze portfolio-level transition risks and opportunities associated with the shift to a low-carbon economy. • Analyze relevant data and estimates, and calibrate, test, and document the models. • Leverage statistical and mathematical methods of derivatives valuation to assess credit losses. • Use Python and SQL to implement advanced climate transition risk models, analyze relevant data, and support the model through validation and deployment processes.
• Support the model through the model validation process and deployment into production. • Support model sponsors and business stakeholders to understand model inputs, structure, and outcomes. • Analyze and document U.S. and international regulatory exercises associated with Climate Risk and perform stress testing. • Create tutorials and materials to communicate model use, model structure, and analysis. Requirements • Requires a Master's degree, or foreign equivalent, in Finance, Financial Engineering, or related field.
• 2 years of experience as a Model/Analysis/Validation
Senior Analyst, Credit Risk Analyst, or related position involving risk model development and implementation for a global bank. • Experience in credit risk management to analyze portfolio-level transition risks and opportunities associated with the shift to a low-carbon economy. • Experience in mathematical modeling and hypothesis testing. • Experience using Python and SQL to implement advanced climate transition risk models, analyze relevant data, and support the model through validation and deployment processes.
• Experience documenting mathematical models and code to ensure clear communication of model inputs, structure, and outcomes. • Experience assessing credit losses and integrating findings into climate risk models. • Experience with statistical and mathematical methods of derivatives valuation. • Experience with big data and Python libraries, including Pandas, NumPy, and SciPy, for data analytics and analysis of relevant data, estimation, calibration, and stress testing of climate risk models. Benefits • Medical, dental & vision coverage • 401(k) • Life, accident, and disability insurance • Wellness programs • Paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays Apply tot his job