Enterprise Risk Analytics (ERA) is a part of Citi’s Risk Management organization that is responsible for Enterprise-level risk metrics including stress testing. Enterprise-wide stress testing program is sponsored by the Citigroup CRO, who reviews the stress testing results with the rest of the executive management team. Enterprise Risk Analytics & Stress Testing is responsible for Enterprise Stress Testing with Legal Entity Oversight (LEO), Material Legal Entity (MLE) Stress Testing and ICAAP execution and oversight, Firmwide Scenario Design and Expansion which cover Enterprise programs and all Legal Entities.

The Enterprise Scenario Design (ESD) team within ERA is responsible for designing macro-economic and market shock scenarios for all enterprise level stress testing, capital planning, and reserve adequacy usages.

The Vice President of Economic Scenario Design reports to the Head of Macro Scenario Design. S/He will be responsible for developing quantitative and qualitative forecast models in the firm-wide economic scenario generation and other stress testing processes, including CECL, Rapid Stress Testing (RST), CCAR and enterprise stress testing etc. S/He will support all scenario design, model development, model documentation and ongoing model maintenance, data quality controls, production oversight, reporting and reviews. This role also collaborates with the Economics and Strategy Research teams, other Risk functions, several line of businesses and Finance.

Responsibilities:

• Support scenario design process, including conducting research to come up with a range of possible scenario concepts, preparing the scenario narrative and forecasting macroeconomic series under the scenarios

• Updating internal documentation related to scenario design and projections

• Communicate results to diverse audiences

• Provide guidance to junior economists as and when necessary.

• Represent the bank in interactions with regulatory agencies, as required.

• Work with Risk ID team to map Top and Material Risks to the scenario narratives

Qualifications:

6-10 years of economic research and model development experience in forecasting economic and financial variables
Experienced in building macroeconomic forecasting models
Familiar with CCAR/CECL scenarios
Experience of working with large data sets
Proficiency in a statistical software package (e.g. Python/R) or similar preferred
Exceptionally detail-oriented with the ability to synthesize large amounts of data and various viewpoints, summarize key concepts, and clearly articulate relevant conclusions
Ability to deliver in tight deadlines
Inquisitive nature, strong quantitative, analytical, and problem-solving skills
Demonstrated project management and organizational skills and capability to handle multiple projects at one time

Education:

Masters’ degree or equivalent experience, preferred PhD degree

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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