Citi Group CCAR Risk Model Development Analyst II- C10 

India, Maharashtra, Mumbai 

88905434

• Description:

  • This position within USPB Risk Management will develop CCAR/CECL/Climate riskmodels for unsecured portfolios (e.g., credit cards, installment loans etc.)

  The responsibility includes but not limited to the following activities:

  • Obtain and conduct QA/QC on all datarequiredfor CCAR/CECL/Climate riskmodel development

  • Develop segment and/or account level CCAR/CECL/Climate riskstress 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/presentations to regulatory agencies on all CCAR/CECL/Climate riskmodels built

  Qualifications:

  • Advanced Degree (Bachelorsrequired,Masters/PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline

  • 2- 5years’ experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses

  • Experience with dynamics ofunsecured or securedproducts a strong plus

  • Active role in performing some analytical components of an econometric modeling-driven stress loss 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, and model production implementation)

  • Exposure to variousstress lossmodeling approaches at the segment or account level preferred

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

  • Proficiencyin SAS/SQL/Oracle/Unix/Microsoft Word,Exceland PowerPoint

  • Work as an individual contributor

Time Type:

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