Sr. Country Risk Analyst

Description

 

About Citi: Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.
Citi’s Mission and Value Propositionexplains what we do and Citi Leadership Standards explain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients’ and the public’s trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.
Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.
IFRS 9 is a regulatory project with an objective to implement the new accounting standard related to impairment allowance calculations on an expected loss basis. An important input into the firm wide impairment model is global macroeconomic & financial projections and range of possible distributions of such forecasts. This role will contribute to the IFRS9 macroeconomic and financial forecasting methodological development, executions and implementation across the bank holding company. The incumbent will contribute hands on in the impairment modeling and its impact due to macroeconomic & financial conditions, develop the necessary model documentation, liaise with the model validation group and ensure prudent model risk management.
The candidate will be responsible for extracting historical macroeconomic and financial variables from large centralized databases of economic and market variables and prepare forecasts under different scenarios; both probabilistic and predefined, to support the strategic objectives of the organization IFRS 9 regulatory project. Economic variables are overwhelmingly macroeconomic, industry and sector variables, whereas capital market variable includes but not limited to treasury rates, various benchmark rates such as LIBOR, Swaps, CDS, VIX, sovereign credit spread, central bank policy and discount rates, equity indices, FX rates, FX volatilities, commodities, and term structure of Corporate Bond spread by ratings grade.

 

Qualifications

 

  • Strong quantitative skills preferably with an academic background in economics, time series econometrics, Monte Carlo simulation, mathematics, statistics or economics at the Masters/PhD Level, and at least 2 years of relevant professional experience.  Candidates must have experiences that have progressed from basic analytical work to more advanced analytical work using SAS (highly preferred), MATLAB programming environment. Previous experience in a role requiring managing/analyzing large data sets and presenting the data visually to senior management is highly desired.
  • 2 years or more experience in financial modeling experience as it relates to forecasting economic / market variables, credit risk, allowance for loan loss reserves etc.  Exposure to model review and documentation standards is strongly desirable.
  • A strong preference for candidates with LLR modeling, Stress Testing, CCAR or loss forecasting of related exposures.
  • Proficiency in Microsoft Office applications (Excel, PowerPoint, Word). Experienced with statistical packages such as SAS, SAS/EG, SAS/ETS, SAS/Base is required. Must possess strong knowledge of major SAS/ETS Procedures such as PROC AUTOREG, PORC VARMAX, PROC ARIMA, PROX-X11/X12, PROC COPULA, PROC MODEL etc. Knowledge of MATLAB is a plus.  Knowledge of financial analysis, modeling, systems and reporting preferred.
  • Understanding of business line drivers for a large size global financial institution.
  • Skilled at articulating methodological issues in a manner that is understandable for non-technical stakeholders.
  • Strong organizational, analytical, problem-solving, project management and communicational skills.
    Core Duties and Responsibilities:
  • Develop, Execute, Implement and Track macroeconomic and financial forecasts that impacts Citigroup’s global portfolios of line of business.
  • Participate in work-streams on Methodology and Policy to define approaches.
  • Drive research and development on open methodology items related to the project.
  • Support Model Validation Group Review and remediate findings.
  • Support implementation of model results on common risk platform.
  • Maintains Citigroup’s internal control standards, including timely implementation of internal and external audit points, technical validation by the model validation group together with any issues raised by external regulators.

Source:https://jobs.citi.com/job/-/-/287/3798654?apstr=src=JB-14142