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Citi Group Sr Quantitative Model Developer – Economic Forecasting SVP 
Canada, Ontario 
329191237

23.07.2024

While some background in economic model development desirable, we encourage applicants with a strong model development background (even if no experience specific to macroeconomic/financial forecasting).

Responsibilities:

  • Lead model development efforts to build best-in-class models for a variety of macroeconomic and concepts, such as GDP, unemployment, HPI, exchange rates, interest rates, credit spreads, etc.
  • Conduct rigorous analytical research to identify causal drivers and to support methodological approaches
  • Serve as an expert resource with respect to econometrics and statistical testing
  • Provide guidance to junior model developers
  • Produce macroeconomic scenario forecasts for macroeconomic variables in firmwide regulatory related processes, such as CECL, CCAR and IFRS 9
  • Utilize Python to build and test statistical models. Write clean, efficient, and well-documented code.
  • Communicate results to diverse audiences.
  • Participate on teams to solve business problems.
  • Identify modeling opportunities that yield measurable business results.

Qualifications:

  • 4+ years of post-PhD work experience, or 6+ years of post-Master’s work experience
  • Strong understanding of quantitative model development approaches, preferably obtained through model development experience at a peer financial institution
  • Experience as a lead model developer, including mentoring and guiding junior developers
  • Very strong knowledge of econometrics, with some knowledge of time series econometrics. An understanding of machine learning approaches like XGBoost is also helpful.
  • Practical experience writing programs to build and test predictive models
  • Proficient in Python
  • Solid understanding of economic concepts
  • Consistently demonstrates clear and concise written and verbal communication skills
  • Self-motivated and detail oriented
  • Demonstrated project management and organizational skills and capability to handle multiple projects at one time.

Education:

  • Master's degree required, Ph.D. preferred
Risk ManagementRisk Analytics, Modeling, and Validation


Time Type:

Full time

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