Job Description

Business/ Dept.

Objectives:


Positions within USPB Risk Management of Citi for CCAR/DFAST stress loss model development for the US/International portfolios.

Core Responsibilities:


This position within Global Consumer Banking will develop CCAR/DFAST stress loss models for unsecured portfolios (e.g., Credit Card, Personal Loan 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

Education:


Advanced Degree (Bachelors required, Masters 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.

Skillset

Role involves strong programming (SAS, R, Matlab etc) and quantitative analytics (regression, time series, decision tree, linear/nonlinear optimization etc) skill. 8+ years analytic experience Experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses 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) At least 4 years' experience in credit scorecard or loss forecasting model (Basel, CCAR etc) development.
Experience in working for developed markets (US/international) 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

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Job Family Group:

Risk Management
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Job Family:

Risk Analytics, Modeling, and Validation
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Time Type:

Full time
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Most Relevant Skills

Analytical Thinking, Business Acumen, Constructive Debate, Data Analysis, Escalation Management, Policy and Procedure, Policy and Regulation, Risk Controls and Monitors, Risk Identification and Assessment, Statistics.
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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.
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