Citi Group Sr Quantitative Model Developer – Economic Forecasting SVP 

Canada, Ontario 

329191237

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

Time Type:

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