CCAR Risk Modeling Manager

3 Applied
Job Description




  • CCAR Quantitative Modeler - Unsecured Products
    Description:
  • This position within Global Consumer Banking will develop CCAR/CECL models for unsecured portfolios (e.g., credit cards, installment loans, ready credit etc.)

  • The responsibility includes but not limited to the following activities:
  • Obtain and conduct QA/QC on all data required for CCAR/CECL model development
  • Develop segment and/or account level CCAR/CECL 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 to regulatory agencies on all CCAR/CECL models built

  • Qualifications:
  • Advanced Degree (Masters required, PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline
  • 5+ years experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses
  • Experience with dynamics of unsecured products a strong plus
  • Active role in performing some analytical components of an econometric modeling-driven stress loss 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, and model production implementation)
  • Exposure to various stress loss modeling approaches at the segment or account level preferred
  • Able to communicate technical information verbally and in writing to both technical and non-technical audiences
  • Proficiency in SAS/SQL/Oracle/Unix/Microsoft Word, Excel and PowerPoint
  • Work as an individual contributor

-------------------------------------------------
Job Family Group: Risk Management
-------------------------------------------------
Job Family:Risk Analytics, Modeling, and Validation
------------------------------------------------------
Time Type:Full time
------------------------------------------------------
Citi is an equal opportunity and affirmative action employer.
Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.
Citigroup Inc. and its subsidiaries (Citi) invite all qualified interested applicants to apply for career opportunities. 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 .
View the poster. View the .
View the .
View the

JOB TYPE

Function

Roles

Education

PhD
About
Job Source: jobs.citi.com

Citigroup Inc. or Citi (stylized as citi) is an American multinational investment bank and financial services corporation headquartered in New York City. The company was formed by the merger of banking giant Citicorp and financial conglomerate Travelers Group in 1998; Travelers was subsequently spun off from the company in 2002.Citigroup owns Citicorp, the holding company for Citibank, as well as several international subsidiaries. Citigroup is incorporated in Delaware.