CASY-MSCCN Jobs

Responsibilities:

• Climate Risk Developers will be responsible for developing models to assess the impacts of climate change on Citi, its portfolios, activities and clients and for providing recommendations on modeling approaches for estimating stress testing (transitional and physical), with focus on portfolio credit losses and integration of business/net-zero strategies Climate model development

• Participate in the development of Climate Risk Models to be used in credit assessment and Stress Testing (transitional and physical), with focus on portfolio credit losses and integration of business/net-zero strategies and impact on risk ratings.

• Develop models for translating regulatory and endogenously generated climate scenarios into impacts that can be used to feed the current framework of models used at Citi for calculation of Stress Losses including: o Probabilities of Defaults o Likelihoods of Second and Third order contagion and network-related effects o Traceability of results and clear narrative of drivers for tail events

• Contribute to model development, data analysis, validation documentation, implementation, and model testing

• Contribute to the development of the modeling infrastructure and library supporting Climate Risk modeling activities

• Collaborate with First Line of Defense (1LOD) and Second Line of Defense (2LOD) as needed for application of climate models to their needs and requirements • Engagement and Communication

• Help communicate key aspects of climate modeling to various stakeholders, including senior management, auditors and regulators

• Assist with engagement with 1LoD, 2LoD and Model Risk Management to ensure that new approaches and methodologies are well-understood and ready for validation

• Work with the Enterprise Scenario team to integrate Enterprise Scenario Climate Scenarios into the climate modeling framework

• Participate in the Implementation of the Climate Model framework within the existing model development library infrastructure

• Collaborate with the Enterprise Risk Analytics team on the periodic stress testing activities and the ad-hoc stress testing activities, as they pertain to climate models

Qualifications:

• 5-8 years experience in model development roles or academia

• Hands on model development and data science experience. Experience in Climate Risk, industry frameworks, and regulatory requirements is a plus.

• Proficient in Python, R, C++, or other Object-Oriented programming languages

• Experience with novel and advanced modeling methodologies such as Agent-Based-Modeling, Network Theory, Big Data analytics, Games theory, Chaos Theory, NLP and Alternative Data (Satellite Imagery, Sentiment Analysis, etc…) is highly desirable

• Consistently demonstrates clear and concise written and verbal communication skills

• Proficient in Microsoft Office with an emphasis on MS Excel • Self-motivated and detail oriented

• Demonstrated project management and organizational skills and capability to handle multiple projects at one time

• Experience in credit risk modeling is required

• Deep understanding of Climate Change, advanced modeling, model validation and quantitative methodologies used in the field is required.

• SCR Certification (Sustainability and Climate Risk) is a plus

Job Family Group:

Risk Management

Job Family:

Risk Analytics, Modeling, and Validation

Time Type:

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Citi is an equal opportunity and affirmative action employer.

Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.