MRM Loss Forecasting Model Validation

The Risk Analytics, Modeling and Validation role involves the development, enhancement, and validation of methods for measuring and analyzing credit risk. In areas related to credit risk, you will develop, enhance, and validate models for measuring losses for mortgage portfolios. You will also develop and maintain key risk parameters like default and rating migration data, usage given default data, and transition matrices. This role is vital to the company as it provides a scientific and systematic approach to assessing and mitigating risks, thereby ensuring the company's financial stability, protecting its assets, and supporting its overall business strategy. Responsibilities: - Perform model validations, annual model reviews, ongoing monitoring reviews, and model limitation remediation reviews for one or more model/product types under the supervision of a Validation Lead for Mortgage loss forecasting models. - Provide effective challenge to the model development process on Low/Medium Model Risk Rating models in the specific model/product type, in accordance with the Citi Model Risk Management Policy. - Evaluate testing approach and results for individual models in accordance with MRM guidance. - Assess the ongoing performance monitoring of the models. - Contribute to regulatory and internal audit related responses. - Collaborate with other teams within Risk and the Business regarding qualitative models to facilitate compliance with policies, procedures, and guidance. - Assist with preparing reports and other meeting materials for MRM senior management. - Support the process of designing, developing, delivering, and maintaining best-in-class qualitative model validation process standards, guidance, practices, templates, and other documentation. Qualifications: - 4+ years of experience. - Experience in Quantitative Finance, Risk Management, Analytics, Model Development, or Model Validation is preferred. - Excellent partnership and teamwork skills. - Programming skills in languages like SAS, Python, VBA, or other coding languages as needed. - Knowledge of mortgage products and financial markets. - Extensive experience in data analysis and interpretation and technical writing. - Strong technical skills such as solid knowledge of time series analysis, statistics, and econometrics. - Strong analytical skills. - Excellent communication and diplomacy skills. - Ability to evaluate complex and variable issues. - Ability to influence decisions and provide expert advice. - Strong problem-solving skills. - Ability to work effectively in a team and independently. - Project management skills, with the ability to manage multiple tasks and deadlines. - Proficiency in data analysis and interpretation. - Ability to identify inconsistencies in data or results and define business issues. - Ability to formulate recommendations on policies, procedures, or practices. - Attention to detail and the ability to make informed judgments based on information. Education: - Masters degree in Maths, Statistics, Economics, Finance, etc.,