VP- CCAR Model Developer
4 weeks ago
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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Mumbai, India Citi Full time------------------------------------------------------Job Family Group:Risk Management------------------------------------------------------Job Family:Risk Analytics, Modeling, and Validation------------------------------------------------------Time Type:------------------------------------------------------
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