CCAR Secured Model Analyst II- C10
Citi
The Position within Global Consumer Risk Management of Citi for CCAR/DFAST/CECL and other stress testing regulations for stress loss model development for the secured portfolios.
Core Responsibilities:
This position within Global Consumer Banking will develop CCAR/DFAST stress loss models for secured portfolios (e.g., Home Equity, Mortgage etc.). The responsibility includes but not limited to the following activities:
Obtain and conduct QA/QC on all data required for stress loss model development
Develop segment and/or account level stress loss models
Perform all required tests (e.g. sensitivity and back-testing)
Validate/recalibrate all models annually to incorporate latest data. Redevelop as needed.
Deliver comprehensive model documentation
Work closely with cross functional teams, including country/region’s business stakeholders, model validation and governance teams, and model implementation team
Prepare responses/presentations for regulatory agencies on all regulatory models built
Education:
Advanced Degree (Masters required or PhD preferred) in Statistics, Applied Mathematics, Operations Research, Statistics, Economics, Quantitative Finance etc. MBA s should apply only if they are interested in career in specialized quantitative risk management discipline.
Skillset
Role involves strong programming (SAS, R, Matlab etc) and quantitative analytics (regression, time series, decision tree, linear/nonlinear optimization etc) skill.
2-4 years analytic experience
Experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses
Experience in model development or (risk/marketing)- credit scorecard development, Basel modeling, stress loss preferred or credit policy analytics
Experience in end-to-end modeling process (data collection, data integrity QA/QC/reconcilements, pre-processing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, & model production implementation)
Good communication skill to communicate technical information verbally and in writing to both technical and non-technical audiences
Expected to work with moderate supervision and guidance
Work as an individual contributor
------------------------------------------------------
Job Family Group:
Risk Management------------------------------------------------------
Job Family:
Risk Analytics, Modeling, and Validation------------------------------------------------------
Time Type:
Full time------------------------------------------------------
Most Relevant Skills
Analytical Thinking, Business Acumen, Constructive Debate, Data Analysis, Escalation Management, Policy and Procedure, Policy and Regulation, Risk Controls and Monitors, Risk Identification and Assessment, Statistics.------------------------------------------------------
Other Relevant Skills
Credible Challenge, Laws and Regulations, Management Reporting, Referral and Escalation, Risk Remediation.------------------------------------------------------
Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.
If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.
View Citi’s EEO Policy Statement and the Know Your Rights poster.