officer - quantitative risk and stress model validation analyst ii - (rohq - risk Management))Citigroup

The Model/Anlys/Valid Analyst II is a developing professional role. Applies specialty area knowledge in monitoring, assessing, analyzing and/or evaluating processes and data. Identifies policy gaps and formulates policies. Interprets data and makes recommendations. Researches and interprets factual information. Identifies inconsistencies in data or results, defines business issues and formulates recommendations on policies, procedures or practices. Integrates established disciplinary knowledge within own specialty area with basic understanding of related industry practices. Good understanding of how the team interacts with others in accomplishing the objectives of the area. Develops working knowledge of industry practices and standards.
Limited but direct impact on the business through the quality of the tasks/services provided. Impact of the job holder is restricted to own team.
Responsibilities:
Develops, enhances, and validates the methods of measuring and analyzing risk, for all risk types including market, credit and operational. Also, may develop, validate and strategize uses of scoring models and scoring model related policies.
Leads project in terms of development, programming, integration, testing, and validation of models.
Provides analytical support on analysis and benchmarking.
Prepares business as usual and ad-hoc reports in accordance with the Risk Management Teams priorities and requirements, running integrity checks on the reports and checking key numbers from other independently created reports.
Participates in a project of constant improvement of risk analytics, modeling and validation systems and optimization of reports.
Works on constant improvement of reporting system and optimization of Credit MIS Reports.
Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.
Qualifications:
Demonstrated programming (SAS, SQL, R, etc.). Knowledge of tools like VBA preferable.
Basic knowledge of secured/unsecured banking products and US banking.
Good communication skill to communicate technical information verbally and in writing to both technical and non-technical audiences.
Proven analytical skills, with the ability to identify root causes and trends and anticipate horizon issues.
Proficient in Microsoft Office (Word, Excel, and PowerPoint
0-2 years experience in model implementation/validation/development preferable.
Education:
Bachelor's/University degree or equivalent experience
Establishment of data quality review of the time series input into the Value-at-Risk(VAR)/Expected Shortfall (ES) calculation,
To identify, investigate, escalate exceptions to the risk managers, and to recommend course of action,
To conduct the VAR/ES Impact Assessments to relevant Volcker desks - identifying and investigating exceptions and recommending course of actions to risk managers
Various other related reporting
Initiate statistical studies and research to supplement or revise the Target Operating Model
Depending on the profile of the successful candidate, she/she can be assigned in a few of the various initiatives of the team:
Become the part of a core group who has the mastery and specialized knowledge of the asset class/risk type, providing thought-leadership in the areas of market insight and risk & product analytics. This group is the primary face-off of risk managers and traders.
Be part of a sub-team tasked search for actionable insights, performing deep-dives and solving common problems via statistical studies and research
Manage or participate in projects (from business requirements to UAT), to work closely with IT developers and global project managers
Participate in the Data analytics and governance, building up the risk & control (R&C) structure and audit-readiness
Will have the opportunity to interact with stakeholders across geographies.
Will be in the unique position of being at the forefront of FRTB regulation and implementation, opportunities to learn concepts of Risk, Market Insight, Financial Products, etc.
Qualifications:
Quantitative background (possibly in areas of Applied Mathematics, Quantitative Finance, Financial Engineering, Actuary & Statistics, etc.)
Previous experience in valuations, product control, or risk management will be an advantage
Special advantages:
Financial modelling and working-knowledge of programming language such as Python and R
Big data Analytics, Machine Learning, Artificial Intelligence
Excellent communication and presentation skills
Job Family Group: Risk Management
Job Family: Risk Analytics, Modeling, and Validation
Time Type: Full time
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 .
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Citigroup

Taguig City, Metro Manila
Permanent
Full-time