Avp- Stress Testing/loss Forecasting Model

5 months ago

Mumbai Maharashtra, India Citi Full time

Responsible for Consumer Retail Credit Loss Forecasting Models Oversight and Governance in Asia and European countries.
- With in-depth understanding of the model life cycle and model risk management, ensure compliance of applicable policies and regulatory requirements pertaining to model development, validation, usage and on-going performance assessment;
- Participate in model development calls between sponsor and modeler, exercise effective challenge for assumptions, risk drivers, methodologies and results to ensure models satisfy the functional requirements;
- Provide guidance and technical advice to countries on model related methodological issues and strategic use to achieve the business control and profitability goals.
- Capable of presenting complex modeling concepts to non-technical audiences.
- Ensure respective countries have appropriate Champion/Challenger/Benchmark loss forecasting models / methodologies in place. Work with multiple stakeholders (e.g. countries, modelers, credit risk oversight seniors) to ensure annual model development / enhancement plan to address model issues identified.
- Coordinating, and reviewing before submission to Model Risk Management (MRM), all model documentations including Validation, Re-validation, Annual Model Review, Ongoing Performance Assessment, overlay documentation, closure of model limitations. Tracking all work and approval status with MRM and countries.
- Ensure all models inputs (e.g. macroeconomic forecasts) are provided in a timely manner to facilitate periodic model run as per regulatory timeline. Coordinating with Global Model Production Team to schedule periodic model run and obtain model results to support countries CCAR/CECL/ICAAP Credit Loss Forecasting submission.
- Participate in logistics and model usage support to Global on CCAR/CECL/ Annual Loss Forecasting submission. Achieve effective challenge to model run results to fulfill the regulatory stress testing and business credit planning objectives.
- Effectively support setting up of standards, designing workflows, ensuring control and compliance of regulatory submission, such as CCAR, ICAAP, CECL, IFRS9, etc.
- Perform model governance self-assessment, identify exceptions / findings to communicate to Senior Manager, and set up corrective action plan (CAP) as appropriate. Coordinate with multiple stakeholders to ensure timely CAP resolution.
- Review recommendations on possible revisions and proposed changes in Model Risk Management and CCAR/CECL policies and procedures, conduct gap analysis, implement the changes and ensure compliance at all levels.
- Preparing/reviewing meeting minutes of model development discussions, model results review, policy-related calls, for audit trail purposes.

**QUALIFICATIONS**
- University degree in Economics or Statistics
- At least 7-9 years (Manager) experience in scoring / risk segmentation / loss forecasting model management, model oversight role with solid consumer risk management experience for all consumer loan products
- Good leadership and people management skills
- Ability to work effectively under pressure
- Solid work experience in handling analysis and presentation of complex financing portfolios
- Strong in process management and control concepts
- Proactive and problem solving
- Disciplined, self-motivated, independent, mature and willing to work overtime as occasional evening conference calls with Global Office and other Asia and European countries are expected.
- Good verbal, written and interpersonal communication skills in liaising with global model development team and country risk teams at all levels.
- Strong computer skills particularly in Excel/PowerPoint/SAS/Answer Tree, etc. and prepare presentation decks
- Occasional travel across the region may be required
- **Job Family Group**:
Risk Management
- **Job Family**:
Risk Analytics, Modeling, and Validation
- **Time Type**:
Part 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.

View the "**EEO is the Law**" poster. View the **EEO is the Law Supplement**.

View the **EEO Policy Statement**.

View the **Pay Transparency Posting

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