Citibank, N.A. seeks a Model/Analysis/Validation Senior Analyst for its Schaumburg, Illinois location.

Duties: Design and implement machine learning models (XGBoost, LightGBM, Neural Networks) tailored for Citi Cards portfolios to improve credit decisions. Build algorithms that generate credit decline reasons based on model outputs. Develop frameworks for feature selections, capping/flooring logic and hyperparameter optimization to streamline modelling processes across teams. Experiment with statistical segmentation methods to group customers by risk profiles and behavioral patterns. Identify and engineer predictive variables that capture customer delinquency risk using automated feature importance techniques like LightGBM. Conduct data analysis using tools like Python, SAS, SQL and Spark to access model performance and identify risks. Create documentation for Model Risk Management (MRM), including rationale for model choices, adverse action logic, and model monitoring plans. ...