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Citi Group Stress Testing/Loss forecasting Analytics -Analyst II- C10 
Malaysia, Penang, George Town 
876133801

26.07.2024

Role Outline/Job Summary

FUNCTION/GROUP:Citi Retail Services - Risk Management Analytics

Day-to-Day Responsibilities:

  • 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

Education:
Bachelor’s degree in a quantitative discipline: Mathematics, Economics, Operations Research, Engineering and Statistics

Experience: 2
+ years of relevant experience

  • 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

Risk ManagementCredit & Portfolio Risk Management


Time Type:

Full time

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