Business/ Dept.

Objectives:

Positions within Global Consumer Risk Management of Citi for CCAR/DFAST stress loss model development for the secured and unsecured portfolios.

Core Responsibilities:

This position within Global Consumer Banking will develop CCAR/DFAST stress loss models for secured portfolios (e.g., Home Equity, 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

Education:

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.

Skillset

• Role involves strong programming (SAS, R, Matlab etc) and quantitative analytics (regression, time series, decision tree, linear/nonlinear optimization etc) skill.
• 7 - 10 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 forecasting model (Basel, CCAR etc) development.

• At least 3 -4 years’ 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