credit risk stress testing models to assess and mitigate financial risks across the organization under various stress..., and calibration of credit risk models (PD, LGD, delinquency/default, and loss) for use in loss forecasting, CECL, regulatory capital...
of the credit risk models used for Basel, stress-testing, loss reserves for Citi's wholesale credit portfolios... models for wholesale credit portfolios for Basel, stress-testing (CCAR, ICAAP), reserves (CECL, IFRS9). Develop quantitative...
credit migration. Establish portfolio limits through stress testing and scenario analysis and measure product compliance... & lease. Oversee risk model development, stress testing, and loss assumptions for securitization portfolio. Generate reports...
knowledge and advice to management related to quantitative analysis, modeling and stress testing Develops, documents... Development: Develop credit related models (including but not limited to risk rating models, CECL model, stress testing models...
knowledge and advice to management related to quantitative analysis, modeling and stress testing Develops, documents... Development: Develop credit related models (including but not limited to risk rating models, CECL model, stress testing models...