Citi Group Stress Testing/Loss forecasting Analytics -Manager- C11 

Malaysia, Penang, George Town 

804514319

Key Responsibilities:

• Work independently and with other team members to effectively execute:
  • Quarterly loss / loan loss reserve forecasting and stress testing processes (CCAR, QMMF, Recovery Plan) deliverables for one or more retail portfolios with primary focus on NA cards
  • Associated governance activities (Manager Control Assessment, End User Computing, Activity Risk Control Monitoring and its Assessment Units)
  • Cross-portfolio and cross-functional collaboration on loss / loan loss reserve forecasting and stress testing analytics
• Assist in review and challenge of existing models, and model outputs to identify areas of improvement relative to portfolio & macro-economic trends.
• Understand the calculation of reserves, components of P&L, and the impact of CECL on CCAR results besides understanding the synergies between two processes.
• Collaborate with other teams like Risk Modeling, Portfolio & New Account Forecasting, Data Reporting and to complete requests on financial planning & CCAR/DFAST results and increased integration of credit risk & PPNR results.
• Perform complex risk policy analytics in terms of sizing the impact of credit/business/regulatory policies on loss performance and incorporate it into the stress testing process.
• Perform econometric analysis to estimate and explain the impact of changing macroeconomic trends on Portfolio Performance Losses, delinquency etc.
• Establish and continually evolve standardized business and submission documentation
• Collaborate with Risk and Finance organization to understand sources of data and continue to improve the process of defining, extracting and utilizing data.
• Identify areas of improvement in BAU and drive process efficiency through process simplification and automation (VBA, SAS, etc.)
• Execute information controls (version control, central results summary) to meet business objectives with utmost clarity.

Qualifications:

• 5+ years of work experience in financial services, business analytics or management consulting.
• Post graduate degree with specialization in a quantitative discipline: Statistics, Mathematics, Economics, Econometrics, Management, Operations Research or Engineering
• Strong understanding of risk management. Knowledge of credit card industry and key regulatory activities (CCAR) are a plus. Experience in CCAR / DFAST/Stress Testing is preferred.
• Strong understanding and hands-on experience with econometric and empirical forecasting models. Experience in data science / machine learning is preferred with ability to handle large datasets.
• Broad understanding of overall business model and key drivers of P&L including Net Credit Losses, Recoveries, Loss Reserves etc.
• Proficiency in using analytical packages like SAS, datacube/Essbase, MS Office (Excel, Powerpoint)
• Vision and ability to provide innovative solutions to core business practices.
• Ability to develop partnerships across multiple business and functional areas.
• Strong written and oral communication skills.

Leadership Competencies:

• Ability and experience to drive changes in order to achieve business targets
• Strong interpersonal skills and ability to influence at all levels of management
• Displays flexibility to work well with varying personal styles
• Takes personal responsibility to lead by example. Understands and appreciates diverse backgrounds.
• Demonstrates strong ethics
• Develops strong cross-functional relationships within and outside Risk Management
• Contributes to a positive work environment; shares knowledge and supports diversity

Time Type:

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