7 days old

C12-CCAR Secured Model Development

Citigroup
Mumbai
**_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/regions 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/regions 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:**


Decision Management

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**Job Family:**


Specialized Analytics (Data Science/Computational Statistics)

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**Time Type:**


Full time

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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 **Accessibility at Citi (https://www.citigroup.com/citi/accessibility/application-accessibility.htm)** .


View the "EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) " poster. View the EEO is the Law Supplement (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/OFCCP\_EEO\_Supplement\_Final\_JRF\_QA\_508c.pdf) .


View the EEO Policy Statement (http://citi.com/citi/diversity/assets/pdf/eeo\_aa\_policy.pdf) .


View the Pay Transparency Posting (https://www.dol.gov/sites/dolgov/files/ofccp/pdf/pay-transp\_%20English\_formattedESQA508c.pdf)
Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.
Posted: 2021-09-10 Expires: 2021-10-11

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C12-CCAR Secured Model Development

Citigroup
Mumbai

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