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Citi Group AVP- Risk Model Development CCAR - C12 
India, Karnataka, Bengaluru 
101865034

30.08.2024

within USRisk Management of Citi for CCAR/DFAST stress loss model development for the

Core Responsibilities:

This position within Global Consumer Banking will develop CCAR/DFAST stress loss models forsecured portfolios (e.g.,Credit CardPersonal Loanetc.). The responsibility includes but not limited to the following activities:

  • Obtain and conduct QA/QC on all datarequiredfor 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/presentationsforregulatory agencies on allregulatorymodels built

Advanced Degree (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.

  • Role involves strong programming (SAS, R,Matlabetc) and quantitative analytics (regression, time series, decision tree, linear/nonlinear optimizationetc) skill.

  • yearsanalytic experience

  • Experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress l

  • Experience in end-to-end modelingprocess (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 4years’ experience in credit scorecard orlossforecasting model (Basel, CCARetc) development.

  • At least 3years’ 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 forapprovals

  • Good understanding of regulatory requirements

  • Good communicationskill to communicate technical information verbally and in writing to both technical and non-technical audiences

  • 1- 3junior modelers

Risk ManagementRisk Analytics, Modeling, and Validation


Time Type:

Full time

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