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Citi Group Stress Testing/Loss Forecasting Model Oversight & Governance Manager-C11 
India, Maharashtra, Mumbai 
17601508

02.07.2024
  • Responsible for Consumer Retail Credit Loss Forecasting Models Oversight and Governance in Asia and European countries.

  • With in-depth understanding of the model life cycle and model risk management, ensure compliance of applicable policies and regulatory requirements pertaining to model development, validation, usage and on-going performance assessment;

  • Participate in model development calls between sponsor and modeler, exercise effective challenge for assumptions, risk drivers, methodologies and results to ensure models satisfy the functional requirements;

  • Provide guidance and technical advice to countries on model related methodological issues and strategic use to achieve the business control and profitability goals.

  • Capable of presenting complex modeling concepts to non-technical audiences.

  • Ensure respective countries have appropriate Champion/Challenger/Benchmark loss forecasting models / methodologies in place. Work with multiple stakeholders (e.g. countries, modelers, credit risk oversight seniors) to ensure annual model development / enhancement plan to address model issues identified.

  • Coordinating, and reviewing before submission to Model Risk Management (MRM), all model documentations including Validation, Re-validation, Annual Model Review, Ongoing Performance Assessment, overlay documentation, closure of model limitations. Tracking all work and approval status with MRM and countries.

  • Ensure all models inputs (e.g. macroeconomic forecasts) are provided in a timely manner to facilitate periodic model run as per regulatory timeline. Coordinating with Global Model Production Team to schedule periodic model run and obtain model results to support countries CCAR/CECL/ICAAP Credit Loss Forecasting submission.

  • Participate in logistics and model usage support to Global on CCAR/CECL/ Annual Loss Forecasting submission. Achieve effective challenge to model run results to fulfill the regulatory stress testing and business credit planning objectives.

  • Effectively support setting up of standards, designing workflows, ensuring control and compliance of regulatory submission, such as CCAR, ICAAP, CECL, IFRS9, etc.

  • Perform model governance self-assessment, identify exceptions / findings to communicate to Senior Manager, and set up corrective action plan (CAP) as appropriate. Coordinate with multiple stakeholders to ensure timely CAP resolution.

  • Review recommendations on possible revisions and proposed changes in Model Risk Management and CCAR/CECL policies and procedures, conduct gap analysis, implement the changes and ensure compliance at all levels.

  • Preparing/reviewing meeting minutes of model development discussions, model results review, policy-related calls, for audit trail purposes.

QUALIFICATIONS

  • University degree in Economics or Statistics

  • At least 5-7 years (Manager) experience in scoring / risk segmentation / loss forecasting model management, model oversight role with solid consumer risk management experience for all consumer loan products

  • Good leadership and people management skills

  • Strong common sense and judgment in applying the policies and procedures to specific situations

  • Ability to work effectively under pressure

  • Solid work experience in handling analysis and presentation of complex financing portfolios

  • Strong in process management and control concepts

  • Proactive and problem solving

  • Disciplined, self-motivated, independent, mature and willing to work overtime as occasional evening conference calls with Global Office and other Asia and European countries are expected.

  • Good verbal, written and interpersonal communication skills in liaising with global model development team and country risk teams at all levels.

  • Strong computer skills particularly in Excel/PowerPoint/SAS/Answer Tree, etc. and prepare presentation decks

  • Occasional travel across the region may be required

Risk ManagementRisk Analytics, Modeling, and Validation


Time Type:

Full time

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