Model/Analysis/Validation Officer

Job description

Citibank, N.A. seeks a Model/Analysis/Validation Officer for its New York, NY location. Duties: Design, develop, and execute enterprise-wide stress testing frameworks for credit risk, including those aimed at rapid emerging risk assessments, loss forecasting, monthly stress-based limit monitoring and capital planning for retail portfolios, including credit cards and mortgage. Build and enhance forecasting methodologies to estimate credit losses under varying macroeconomic scenarios using portfolio analytics and statistical techniques such as logistic regression, linear regression, discrete time survival analysis, and transition matrix approaches on large-scale datasets. Develop models and analytical tools to project Probability of Default (PD), Exposure at Default (EAD), and Loss Given Default (LGD), aligned with regulatory frameworks such as the Current Expected Credit Loss (CECL) and the Comprehensive Capital Analysis and Review (CCAR). Create and implement macroeconomic scenario-based efficient loss simulation frameworks. Design and execute risk quantification methodologies to monitor and evaluate stress-based limits, supporting risk appetite frameworks and strategic decision-ma...