SVP Senior Quantitative Engineer

DSE (DART Solution Engineering) team implements risk models to ensure that the bank’s lending portfolios have adequate capital. We use mathematical modeling and the latest technologies to build loss forecasting and stress testing pipelines. Our systems are responsible for calculating risk on some of the largest portfolios in Citi.

We are looking for a Senior Quantitative Engineer to lead development of the wholesale credit loss forecast library, which covers both internal and regulatory reserve calculation and stress testing such as CECL, CCAR, IFRS9, ICAAP/EBA, GSST and climate risk modeling.

Responsibilities:

o Implement and maintain wholesale credit loss model library for reserve calculation and stress testing

o Review the spec from modelers and participate in the model implementation design forlibrary users such as model developers, model sponsors, risk reporting and legal entities to efficiently configure, run and analyze various loss forecasting models

oProvide best IT integration solutions for models that requires extensive computational resources

o Support library optimization, deployment,IT integration and production hotfix internal audit related discussions.

o Supports the development of training curriculum and standards. Provide leadership and guidance for junior developers.

o Actively engage with model development teams, including PD/LGD/EAD model team, and loss forecast model team.

​Qualifications:

o Master or PhD degree in quantitative fields (Mathematics, Physics, Computer Science, Econometrics, Statistics, etc.) is required.

o 7+ years of experience in quantitative financial model development. Hands-on experience with the research, development, and implementation of credit risk models.

o Extensive knowledge of wholesale credit products and financial markets at a financial institution.

o Solid knowledge of bank stress testing and loss reserves for wholesale credit portfolios for CECL and CCAR.  Experience in PD/LGD/EAD modeling, or global IFRS9/ICAAP calculation is a plus.

o Familiar with statistics packages and regression models.

o Strong programming skills in Python, C++, or other advanced programming languages.

o Ability to drive innovation via thought leadership while maintaining end-to-end view.

o Effective cross-functional project, resource, and stakeholder management; effectively engage with internal audit and external regulators.

o Excellent communication skills, verbal as well as written.