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