Citi Group Macroeconomic Forecasting Lead VP 

Canada, Ontario 

91213206

Responsibilities:

• Developing hypothetical and BAU scenario forecasts for the following constructs:
  • Canada sovereign interest rates, Canada swap rates, and CORRA (Canadian Overnight Repo Rate Average).
  • Implied volatilities for Canada interest rates
  • CAD/USD exchange rate
  • Canada S&P/TSX Index and Canada MSCI Index
  • Canada unemployment rate, Canada GDP, and Canada CPI
  • Canada HPI
  • Canada imports, exports, and reserves
  • Canada money supply
• Supporting scenario projections used as part of the Canada regulatory and stress test scenarios

• Lead model development efforts to build best-in-class models for the constructs outlined above.
• Produce macroeconomic scenario forecasts for Canada 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.
• Conduct rigorous analytical research to identify causal drivers and to support methodological approaches
• Communicate results to diverse audiences.
• Identify modeling opportunities that yield measurable business results.

Qualifications:

• PhD and 2+ years of post-PhD work experience, or Master’s degree and 4+ years of work experience
• Experience generating forecasts for Canada macroeconomic or financial variables, particularly under hypothetical stress scenarios as part of regulator exercises
• Strong understanding of quantitative model development approaches
• Demonstrated expertise in implied volatilities for Canada interest rates
• Practical experience utilizing XGBoost as part of the model development process
• Practical experience writing programs to build and test predictive models
• Proficient in Python
• 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. strongly preferred

Time Type:

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