Citibank, N.A. seeks a Credit Portfolio Officer for its New York, NY location. Duties: Run the end-to-end process of non-accounting Credit Valuation Adjustment (CVA) stress testing for both business-as -usual and regulatory stress testing. Provide analysis for counterparty incremental default loss in a stressed scenario. Lead the effort to implement changes to enable effective control, monitoring and risk management of non-accounting CVA stress and Incremental Default Loss (IDL) losses. Present the CVA stress and IDL loss to senior management and regulators. Maintain and improve the Counterparty Credit Risk (CCR) methodologies for non-accounting CVA and IDL. Maintain and update model document, propose model changes, and review and challenge model output. Monitor the model performance of CVA and IDL models. Report the model governance and model performance to senior management. Conduct routine and ad-hoc risk and stress analysis to highlight key risks in the CCR portfolio. Design scenarios, analyze the CCR portfolio, and review and challenge the risk reports. Provide recommendations on risk reduction and risk mitigation to risk managers. Report the portfolio concentration to senior management and regulators. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols. Requirements: Master’s degree, or foreign equivalent, in Quantitative Finance, Financial Mathematics, Financial Engineering, or a related field, and four (4) years of experience in the job offered, or in a related occupation in the financial services industry. Four (4) years of experience must include: Conducting counterparty credit risk stress testing for Comprehensive Capital Analysis and Review (CCAR) submissions and internal quarterly stress testing, including but not limited to model execution, model improvements, documentation updates, and model output analysis review and challenges for Counterparty incremental default loss (IDL), non-accounting CVA, counterparty deterministic default loss and relevant regulatory reporting; Analyzing counterparty risk portfolio including routine and ad-hoc stress testing, scenario analysis, sensitivity study and other quantitative or qualitative analysis; Monitoring CCR exposure and portfolio risk by region, country, product and legal entity, and preparing the risk reports to the stakeholders and senior managements on a regular basis; and Preparing gap analyses and remediation work of any misalignments between policy and actual implementation. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/ . Please reference Job ID #24786603. EO Employer. Wage Range: $171,500.00 to $188,310.00 Job Family Group: Risk Management Job Family: Credit & Portfolio Risk Management ------------------------------------------------------ **Job Family Group:** ------------------------------------------------------ **Job Family:** ------------------------------------------------------ **Time Type:** Full time ------------------------------------------------------ **Primary Location:** New York New York United States ------------------------------------------------------ **Primary Location Full Time Salary Range:** In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire. ------------------------------------------------------ **Anticipated Posting Close Date:** Jan 31, 2025 ------------------------------------------------------ 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. 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