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Role Outline/Job Summary
FUNCTION/GROUP:Citi Retail Services - Risk Management Analytics
The candidate will have experience in a large, sophisticated credit granting or risk management organization within a major consumer card, financial services, retailing or consulting business. This individual will bring a strong analytical orientation, an appreciation for broad-based risk issues, understanding of data mining techniques, and a familiarity with operations
The role will require successfully performing the different analytical components of an econometric modeling-driven loss-forecast / stress test /Loan loss reserve process
Must have the knowledge and expertise to deliver innovative modeling techniques and data strategies to deliver best in class stress testing and / or credit scoring models
Must be updated with latest CCAR and CECL modelling techniques through ongoing review of Journal papers.
Role will require developing and/or analyzing econometric PD/EAD/LGD stress testing models for annual DFAST/CCAR exercise. Prior experience in developing loan level models is preferred using one or more modelling constructs: Survival Models, Age Period Cohorts and State Transition models
Provide support to senior management against the requirements set by Internal Risk Oversight and other external regulators.
Perform complex risk policy analytics in terms of sizing the impact of credit/business/regulatory policies on loss performance and figure out a way of incorporating them into the stress testing process
Perform econometric analysis to estimate and explain the impact of changing macroeconomic trends on Portfolio Performance Losses, delinquency etc.
Perform all required tests and measures of developed models (e.g., sensitivity, accuracy, volatility), deliver comprehensive model documentation, Validate and Recalibrate models on periodic basis as in line with group policies
Presentations to both technical and non-technical personnel are required to be made frequently as part of the job. Must have capability to clearly communicate analyses.
Ongoing management and validation of CCAR and scoring models across portfolios,
Development of CCAR / scoring models as per business requirement
Exploring and implementing alternate modeling techniques to deliver more predictive models
Effective interaction with business partners across functions including risk, technology, product management amongst others
Ability to apply credit and risk principles toward business objectives
Demonstrated ability to synthesize, prioritize and drive results with a high sense of urgency
Strong analytical skills in conducting sophisticated analysis using bureau/vendor data, customer performance data and macroeconomic data
Strong leadership and team management skills
Strong programming skills in advanced SAS and SQL in mainframe, UNIX and PC environments
Other skills:
Exposure to project/process management
Strong communication and presentation skills targeting a variety of audiences
A qualified candidate needs to be able to work with cross functional teams
Creates and sustains a network of strong client relationships
Flexibility in approach and thought process
Ability to work effectively across portfolio risk policy teams and functional areas teams
Strong influencing, negotiating, and facilitation skills
Analytical mindset
Credit card industry experience especially in an analytics, policy or scoring role is preferred
Understanding of Comprehensive Capital Analysis and Review (“CCAR”) and Dodd-Frank Act Stress Testing (“DFAST”)processes preferred
Understanding of Current Expected Credit Loss (“CECL”)processes preferred
Time Type:
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