C12 - Avp Ccar Model Production and Monitoring

7 days ago

Bengaluru, India Citi Full time

This position will focus on model performance tracking, annual model review, production support, and model implementation of CCAR/DFAST/ICAAP and CECL stress loss models for Citi's unsecured portfolios, including credit cards, personal installment loans and ready credit.

**Roles and Responsibility**:

- Obtain modeling code from developers, implement in a production environment, and support UAT
- Download and process updated data from countries/regions and/or IT to run primary & benchmarking CCAR and CECL models to assist countries/regions in their use of the CCAR/DFAST/CECL models in business activities
- Run quarterly model performance back-testing, sensitivity analysis, and other required model performance analysis for production models
- Perform formal annual model review according to MRM’s guidance and standards. Respond to MRM’s questions as needed
- When forecast or performance shifts are observed, perform diagnostic analytics around drivers including standard reporting as well as drill down analytics
- Explain model results and review drivers of observed gaps or deterioration in model performance with regional/country risk managers and internal model development teams.
- Create code packages and document all production, implementation, and monitoring related activities including QA/QC steps in model documents and production/implementation/monitoring manuals

**Qualifications**
- Advanced Degree (Bachelor’s required and Master’s preferred) in Statistics, Computer Science, Applied Mathematics, Operations Research, Economics, or other highly quantitative discipline
- 7-10 YEARS production and monitoring experience
- Strong programming skills (SAS, R, Python, etc.)
- Expertise in model production, implementation, and model tracking processes across consumer products and/or business lines - international a plus
- Lead multiple projects independently.
- Manage effective team delivery
- Ability to manage work in cross functional teams including model development, country/region’s business stakeholders, model validation and governance teams, and model implementation team
- Effectively coordinate with model developers/SMEs to analyze model performance breaches, forecast results and explain to both technical and non-technical senior audience.
- Present reports/analysis to governance teams for approvals
- Good understanding of regulatory requirements
- Experience in developing automated production, reporting suite, and visualization tools preferred
- Basic understanding of modeling processes (regression, time series, decision tree, etc.) would be desirable.
- Good communication skill to explain technical information verbally and in writing to both technical and non-technical audiences, with attention to detail
- Manage 1 - 5 member team
- **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.

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