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. Salary range: $171,500.00 to $188,310.00. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #24786603. EO Employer.

Minimum Salary: 171,500 Maximum Salary: 188,310 Salary Unit: Yearly