Job Description

Positions within Personal Banking and Wealth Risk Management of Citi for CCAR/DFAST and CECL loss forecast model development for the secured and unsecured portfolios. This position within Global Consumer Banking will develop for CCAR/DFAST and CECL l

Positions within Personal Banking and Wealth Risk Management of Citi for CCAR/DFAST and CECL loss forecast model development for the secured and unsecured portfolios. This position within Global Consumer Banking will develop for CCAR/DFAST and CECL loss forecast models for unsecured and secured portfolios (e.g., Credit Cards, Personal Loans, Mortgage etc.). The responsibility includes but not limited to the following activities: Obtain and conduct QA/QC on all data required for stress loss model development Develop segment and/or account level stress loss models Perform all required tests (e.g. sensitivity and back-testing) Validate/recalibrate all models annually to incorporate latest data. Redevelop as needed. Deliver comprehensive model documentation Work closely with cross functional teams, including country/region's business stakeholders, model validation and governance teams, and model implementation team Prepare responses/presentations for regulatory agencies on all regulatory models built Manage training initiatives for new hires and existing employees Advanced Degree (Masters required or PhD preferred) in Statistics, Applied Mathematics, Operations Research, Statistics, Economics, Quantitative Finance etc. MBA s should apply only if they are interested in career in specialized quantitative risk management discipline. 7 - 10 years analytic experience with at least 4 years' experience in credit scorecard or forecasting model (Basel, CCAR etc.) development. Strong programming skills in SAS/SQL/Python/R etc. Expertise in quantitative analytics methodologies (survival models, transition matrix models, monte carlo simulation, regression, time series, decision tree, linear/nonlinear optimization etc.) skill. Experience in applying economic theory and econometric modeling e.g. ARIMA, VAR etc. In-depth understanding of consumer lending products, credit life cycle, risk management etc. Knowledge of development of loss forecasting models for regulatory purpose e.g. CCAR, CECL, IFRS9, Basel etc. Experience in end-to-end modeling process (data collection, data integrity QA/QC/reconcilements, pre-processing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, & model production implementation) Manage projects independently. Ability to manage work in cross functional teams, including country/region's business stakeholders, model validation and governance teams, and model implementation team Effectively communicate model results to both technical and non-technical senior audience. Present model results with over-sight for approvals Good understanding of regulatory requirements Good communication skill to communicate technical information verbally and in writing to both technical and non-technical audiences Mentor/Manage 1- 3 junior modelers Job Family Group: Risk Management Job Family: Risk Analytics, Modeling, and Validation Time Type: Full time 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. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review . View the '' poster. View the . View the . View the