Wholesale Credit Reserves & Loss Modelling

Working at Citi involves joining a global team of over 225,000 people with opportunities to grow in various business lines including banking, technology, and investment services, contributing to global progress with innovative solutions.

• Master's degree in a quantitative field such as Mathematics, Physics, Computer Science, Econometrics, Statistics, Economics, or Finance
• Minimum 3 years of experience in quantitative financial modeling
• Hands-on experience in research, development, and implementation of financial models
• Ability to apply advanced mathematical and analytical techniques to real-world problems
• Familiarity with statistics packages and regression models
• Strong programming skills in Python
• Excellent verbal and written communication skills
• Preferred: knowledge of wholesale credit products and financial markets
• Plus: knowledge of IFRS9/CECL credit reserves, ICAAP/CCAR stress testing, PD/LGD/EAD modeling
• Plus: good knowledge of Linux

• Research, develop and test wholesale expected credit loss models aligned with IFRS9 and local regulations
• Develop credit loss models for regulatory stress testing (ICAAP, EBA) and internal stress tests
• Implement loss models and analytical functions in the internal Python library
• Prepare detailed quantitative modeling and analyses for risk managers and senior management
• Analyze and interpret model results, incorporating feedback
• Support business, finance, risk managers, model validation, internal audit, and banking supervisors in discussions about loss models
• Communicate complex risk models and their results effectively
• Conduct statistical analysis, quantitative modeling, and model risk controls
• Work hybrid with up to 2 days per week from home