Citi Group Stress Testing/Loss forecasting Analytics -Analyst II- C10 

Malaysia, Penang, George Town 

876133801

Role Outline/Job Summary

FUNCTION/GROUP:Citi Retail Services - Risk Management Analytics

• The candidate will have experience in a large, sophisticated credit granting or risk management organization within a major consumer card, financial services, retailing or consulting business. This individual will bring a strong analytical orientation, an appreciation for broad-based risk issues, understanding of data mining techniques, and a familiarity with operations

• The role will require successfully performing the different analytical components of an econometric modeling-driven loss-forecast / stress test /Loan loss reserve process

• Must have the knowledge and expertise to deliver innovative modeling techniques and data strategies to deliver best in class stress testing and / or credit scoring models

• Must be updated with latest CCAR and CECL modelling techniques through ongoing review of Journal papers.

• Role will require developing and/or analyzing econometric PD/EAD/LGD stress testing models for annual DFAST/CCAR exercise. Prior experience in developing loan level models is preferred using one or more modelling constructs: Survival Models, Age Period Cohorts and State Transition models

• Provide support to senior management against the requirements set by Internal Risk Oversight and other external regulators.

• Perform complex risk policy analytics in terms of sizing the impact of credit/business/regulatory policies on loss performance and figure out a way of incorporating them into the stress testing process

• Perform econometric analysis to estimate and explain the impact of changing macroeconomic trends on Portfolio Performance Losses, delinquency etc.

• Perform all required tests and measures of developed models (e.g., sensitivity, accuracy, volatility), deliver comprehensive model documentation, Validate and Recalibrate models on periodic basis as in line with group policies

• Presentations to both technical and non-technical personnel are required to be made frequently as part of the job. Must have capability to clearly communicate analyses.

• Ongoing management and validation of CCAR and scoring models across portfolios,

• Development of CCAR / scoring models as per business requirement

• Exploring and implementing alternate modeling techniques to deliver more predictive models

• Effective interaction with business partners across functions including risk, technology, product management amongst others

• Ability to apply credit and risk principles toward business objectives

• Demonstrated ability to synthesize, prioritize and drive results with a high sense of urgency

• Strong analytical skills in conducting sophisticated analysis using bureau/vendor data, customer performance data and macroeconomic data

• Strong leadership and team management skills

• Strong programming skills in advanced SAS and SQL in mainframe, UNIX and PC environments

Other skills:

• Exposure to project/process management

• Strong communication and presentation skills targeting a variety of audiences

• A qualified candidate needs to be able to work with cross functional teams

• Creates and sustains a network of strong client relationships

• Flexibility in approach and thought process

• Ability to work effectively across portfolio risk policy teams and functional areas teams

• Strong influencing, negotiating, and facilitation skills

• Analytical mindset

• Credit card industry experience especially in an analytics, policy or scoring role is preferred

• Understanding of Comprehensive Capital Analysis and Review (“CCAR”) and Dodd-Frank Act Stress Testing (“DFAST”)processes preferred

• Understanding of Current Expected Credit Loss (“CECL”)processes preferred

Time Type:

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