To develop advanced financial quantitative models for wholesale credit losses, including for IFRS9, CECL, & CCAR. Explore different statistical approaches. Participate in implementation of analytical tools by reporting functions. Write implementation code in programming languages including SAS, R, & Python. Telecommuting/hybrid work schedule permitted within commutable distance from worksite, in accordance with Citi policies & protocols.
Requirements: Master's or foreign equivalent in Financial Engineering, Economics, Finance, or related field & 3 years' experience in job offered or related occupation within financial services industry. 3 years' experience must include: developing software in complex, multi-user source control environment including Git or SVN; Utilizing CCAR/EBA/ICAAP stress testing, PD/LGD/EAD modeling or CECL/IFRS9 calculation for loss calculation or stress testing wholesale credit portfolios; 40 hrs/wk.
Salary range: $146,611.52-$180,000.00/yr. Citi offerings may include discretionary incentive & retention awards for eligible employees. Citi also offers competitive benefits. See citibenefits.com. Applicants submit resumes at https://jobs.citi.com/. Ref Job ID #25921375. EOE
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