Citi Group FP & Model Development SVP- C14 

United States, New York, New York 

106493649

Group Responsibilities:

The modeling team within Citigroup’s Corporate Financial Planning and Analysis team is responsible for:

• Developing, implementing, and maintain the models that support Citi’s Balance Sheet and Income Statement forecasting
• These models are used by Citi’s Business and Finance teams to support their Planning processes, and are used directly as forecasting tools for the bank’s CCAR PPNR processes
• These models are used by Citi’s Interest Rate Risk Management function, including supporting the Funds Transfer Pricing framework, in the management of the bank’s interest rate risk
• The common structure of these models is that they translate projections of economic environment scenarios into forecasts for Citi’s Balance Sheet and Income Statement
• In addition, the team supports broader Treasury ALM quantitative analytical needs

The candidate’s job responsibilities include:

• Develop statistical models for the forecasting of Citi’s Balance Sheet and Income Statement, for use in Citi’s business planning processes, risk management processes, and for regulatory-based stress testing processes. Focus is on the North America Consumer portfolio
• Develop models such that the model can translate macroeconomic and financial market indicators into scenario-based forecasts. Intent for these models is to utilize account level data/characteristics for enhancing our current set of PPNR models for our NA Consumer portfolio
• Fully document all developed models for use during reviews with senior management, model validation, Citi’s business and functional teams, internal/external audit, and regulatory agencies (e.g., Fed, OCC, FDIC)
• Partner with Citi’s business leaders such that the development, implementation, and use of developed forecasting models, ensures the appropriate design and use
• Partner with Citi’s Operations and Technology team to ensure timely, efficient, and accurate implementation of developed models

• Qualifications:

• Minimum 5 years of experience in developing advanced statistical models for use in a financial institution setting
• Advanced degree in quantitative discipline (e.g., Statistics, Economics, Finance), Ph.D. preferred
• Proven track record of successful independent model development, with proven track record of successful interaction with business stakeholders, internal model risk management and audit, and external regulators
• Experience participating in complex end-to-end model development projects (business requirements, data capture, model design, build, validation, implementation, and use)
• Experience with developing PPNR models for cards portfolios. Candidates that have experience utilizing account level data for credit cards modeling preferred, with emphasis on PPNR modeling, but not limited to
• Eagerness to learn about the relationship between the economic environment and the balance sheet/income statement
• Expert programming skills to develop statistical models, with expert capabilities in statistical software packages such as SAS, R, or Python preferred.
• Experience utilizing a Oracle database platform, including SQL scripting, preferred
• Experience developing models in a regulated environment (e.g., Fed, OCC, FDIC) preferred
• Excellent communication and interpersonal skills to allow collaboration with Citi colleagues
• Proven track record of successfully migrating models from development through production implementation

Anticipated Posting Close Date:

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