The role is responsible for managing model risk and documentation about loan loss forecasting models which are used for internal and regulatory stress testing exercise, loan loss reserve forecasting, credit cost plan / outlook for PBWM Credit risk.
Report to Head of Risk Analytics and Model Risk Management to manage consumer credit risk models including credit loss forecasting models (model development / validation / renewal), and loan loss reserve forecasting models (IFRS9, CECL).
Manages model risk and properly document across the model life-cycle including model validation, ongoing performance evaluation and annual model reviews.
As a model sponsor delegates, provides effective challenge during model development / validation / annual renewal / On-going performance monitoring project and address model limitations.
Produces analytics and reporting used to address model limitations.
Provides guidance to junior staff as and when necessary.
Manages stakeholder interaction with model developers and validators during the model life-cycle.
Maintain compliance with Citibank model risk policies / procedures, regulatory policies and prepare, update, and ensure approval of all internal policy and procedure changes, keeping proper change and approval logs.
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.
10 years of risk management experience in Unsecured Lending Products
Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation.
Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models.
Highly numerate, good communication, interpersonal skills and ability to motivate others with leadership potential
Self-motivated and detail oriented
Demonstrated project management and organizational skills and capability to handle multiple projects at one time.
Highly numerate with sound knowledge in SAS programming, data mining and MS word / excel / access / PowerPoint
Bachelor or Post-graduate degree in Business, Statistics, Data Science or other related quantitative disciplines
Job Family Group : Risk Management
Job Family :
Credit & Portfolio Risk Management
Time Type : Full time
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