Support the development of benchmark and champion models for climate risk stress testing and other regulatory or internal requirements across Citi’s international and U.S. secured portfolios.
Under managerial guidance, conduct data cleansing, portfolio analysis, and identification of static, dynamic, and macroeconomic risk drivers.
Build PD, EAD, and LGD models, perform statistical analysis, back-testing, sensitivity analysis, and model robustness testing.
Support model implementation, validation, and governance activities.
Prepare model development documentation and support annual model reviews and ongoing performance assessments.
Participate in model revalidation, model changes, related documentation, and validation support.
Ensure assigned projects are completed on time and with high-quality outputs.
Collaborate with cross-functional teams, including business stakeholders, model validation teams, governance teams, and implementation teams.

2+ years of experience in quantitative analysis, statistical modelling, loss forecasting, loan loss reserve modelling, or econometric modelling.
Advanced academic experience in Statistics, Economics, Finance, Biomedical Engineering, or other highly quantitative disciplines may be considered.
Experience in climate risk stress testing or catastrophe modelling is preferred.
End-to-end credit risk modelling experience is highly preferred.
Knowledge of CCAR and CECL requirements is preferred.
Strong programming skills in SAS, SQL, Python, R, or similar tools.
Strong quantitative skills, including regression, time series analysis, decision trees, and linear/non-linear optimisation.
Ability to explain model design, specifications, and performance to both technical and non-technical audiences.

Climate Risk Model Development – Analyst II Full Time

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