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Climate Risk Model Developer VP (C13)

Employer
Financial Executives International
Location
New York City, New York, US
Salary
Competitive
Closing date
Feb 18, 2023

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Sector
Consultancy/Private Sector
Field
Conservation science
Discipline
Climate Change
Salary Type
Salary
Employment Type
Full time
**_Excited to grow your career?_**

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Our people make all the difference in our success.

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**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_

+ Take significant role in 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.

+ Key role in developing 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:

+ Probabilities of Defaults

+ Likelihoods of Second and Third order contagion and network-related effects

+ Traceability of results and clear narrative of drivers for tail events

+ Be a major contributor to:

+ model development, data analysis, validation documentation, implementation, and model testing for Climate Risk models

+ 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_

+ Communicate key aspects of climate modeling to various stakeholders, including senior management, auditors and regulators

+ Engage 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

+ Play a key role 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:**

+ 6-10 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

+ Practical experience using statistical coding software (R, Python, SAS, etc) to build and test prediction models. comfortable interfacing with business clients. proficiency handling very large data sets

+ Consistently demonstrates clear and concise written and verbal communication skills

+ Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation.

+ 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

+ Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models.

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

+ Experience with code implementation and libraries

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

**Education:**

+ Masters degree in quantitative field/STEM or equivalent experience, PhD preferred.

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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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**Primary Location:**

New York New York United States

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**Primary Location Salary Range:**

$137,610.00 - $206,420.00

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Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review **Accessibility at Citi (https://www.citigroup.com/citi/accessibility/application-accessibility.htm)** .

View the "EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) " poster. View the EEO is the Law Supplement (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/OFCCP\_EEO\_Supplement\_Final\_JRF\_QA\_508c.pdf) .

View the EEO Policy Statement (http://citi.com/citi/diversity/assets/pdf/eeo\_aa\_policy.pdf) .

View the Pay Transparency Posting (https://www.dol.gov/sites/dolgov/files/ofccp/pdf/pay-transp\_%20English\_formattedESQA508c.pdf)

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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.
Citi is an equal opportunity and affirmative action employer.

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

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