VP- CCAR Model Developer

4 weeks ago


Mumbai, India Citi Full time
Comprehensive Capital Analysis Review (CCAR) is an annual regulatory submission to US Federal Reserve Board (FRB). It is used to ensure that institutions have robust, forward-looking capital planning processes that account for their unique risks and sufficient capital to continue operations throughout times of economic and financial stress. As part of CCAR, the Federal Reserve evaluates institutions' capital adequacy, internal capital adequacy assessment processes, and their plans to make capital distributions, such as dividend payments or stock repurchases.The

FP&A Statistical Modeler

Sr. Manager

is a senior level position, part of

FP&A Model Development team

which is responsible for developing econometric time-series models to project balance sheet and income statement for different products / businesses / geographies within the firm to support CCAR and QMMF.Responsibilities:Development of

econometric forecasting models

for key

Balance sheet

and

income statement

line items for capital and business planning purposes. This includes the calculation of Net Interest Income (“NII”), Non-Interest Revenue (“NIR”), Interest Rate Exposure (“IRE”), and other associated interest rate risk metrics.Developing

Champion and Challenger models

using different time series forecasting methodologies to comply with SR 15-18 guidance.Participate and contribute to FRB / OCC exams

and present model specific information to seniors in a succinct manner.Development of

Benchmark models

using Industry data series to meet regulatory requirementsDrive model convergence initiatives

as part of firm’s Transformation journey for different businesses.Explain quantitative

model results to front-office / FP&A teams

during quarterly model runs under different scenarios provided by Economic Scenario Group.Responsible

for exploring application of

alternate modeling techniques

to facilitate model convergence efforts and presenting the same to senior model development leads. Also, be a champion in addressing observations raised by MRM and Internal Audit in a quantitative manner by thinking out-of-box.Manage the

model life-cycle

from first-line of defense perspective and participate in Segmentation, Risk Identification, overlay discussions with Businesses and Finance teams.Responsible

in managing complex conversations and to seek sign-offs on final selected models from key stakeholder such as Business heads, FP&A head, Treasury and Risk.Responsible

for

writing

and submitting

model development documentation and partner with Model Risk Management (MRM) to address their feedback.Qualifications / skill sets:8-10

years of relevant statistical /business experience in financial servicesStrong understanding of statistical techniques such as

Ordinary Least Square regression (OLS)

,

Fixed-effect

Panel Regression, Error Correction Models, Seemingly Unrelated regression and Cointegration

.Understanding of

Machine learning algorithms

will be a plusUnderstanding of

Consumer / Wholesale business

to facilitate model convergence initiatives will be a plusHands-on experience in programming and modeling using

SAS, Python and R

is preferred.Follow a culture of accountability and strict quality control of the data integrity and modeling processAbility to build key relationships with finance and business teamsMust be able to present technical matters in a way that is meaningful to the audienceEducation:Masters / PhD in quantitative discipline such as Statistics, Economics or related discipline------------------------------------------------------Job Family Group:Risk Management

------------------------------------------------------Job Family:Risk Analytics, Modeling, and Validation

------------------------------------------------------Time Type:------------------------------------------------------

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