Senior Data Scientist - Credit Risk Rating Model Developer

Key Skills

Data Analysis, Data science techniques, Effective communication skills, Finance, Java Programming, Python Programming, R Programming, Risk Analytics, SAS, Statistics

Job Description

Credit and Obligor Risk Analytics (CORA) is looking to add a Model Developer to the Credit Risk Rating Analytics (CRRA) Team. CRRA team is responsible for the development of all credit rating models for SMEs / MMEs, Large Corporates, Financial Institutions and Public Sector on a Global basis. 

This is a highly visible position with many career opportunities and cooperation with different Citi’s Teams whole over the world.

Responsibilities:

The responsibilities of the successful candidate include but not limited to the following activities:

• Obtain and prepare model development data
• Select the champion modelling methodology after evaluating multiple options
• Develop different statistical models
• Perform all required tests (e.g. sensitivity and back-testing)
• Lead annual model reviews and performance testing and/or redevelop as needed
• Deliver comprehensive technical and non-technical model documentation
• Work closely with cross functional teams, including country/region’s business stakeholders, model validation and governance teams, and model implementation team
• Apply critical thinking in solving complex business problems with quantitative tools in a collaborative, fast-paced environment.
• Prepare responses for a regulator and internal audit on all models built

Qualifications:

• Masters in Econometrics, Statistics, Math, Finance, Economics, or an Applied Science. CFA or FRM is a plus.
• 5+ years of experience in quantitative area, experience in credit risk management area is a plus.
• Hands-on experience with the research, development, and implementation of credit risk models, including technical and non-technical documentation.
• Strong programming skills in Python, R, or other objected oriented languages.
• Familiar with statistics packages and regression models.
• Strong working knowledge of Accounting and Corporate Finance is a significant plus.
• Excellent communication skills, verbal as well as written.
• Ability to make decisions / balance aggressive timelines for deliverables amidst conflicting priorities.

We offer:

• Opportunity to work in an international, multi-cultural environment
• Cooperation with a high-quality team in a challenging area of the financial industry with one of the world's leading companies
• Access to the latest technologies and tools
• Opportunity to learn through participation in various projects and cross training
• Attractive conditions of employment and benefits
• High exposure coming from direct cooperation with senior management