Avp Unsecured Ccar Risk Modeling

2 days ago

Mumbai, India Citi Full time

**_Business/ Dept._** **_ Objectives:_** Positions within Personal Banking and Wealth Risk Management of Citi for CCAR/DFAST and CECL loss forecast model development for the secured and unsecured portfolios. **_ Core Responsibilities:_** This position within Global Consumer Banking will develop for CCAR/DFAST and CECL loss forecast models for unsecured and secured portfolios (e.g., Credit Cards, Personal Loans, Mortgage etc.). The responsibility includes but not limited to the following activities: - Obtain and conduct QA/QC on all data required for stress loss model development - Develop segment and/or account level 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 for regulatory agencies on all regulatory models built - Manage training initiatives for new hires and existing employees **_ Education:_** **_ Skillset_** - 7 - 10 years analytic experience with at least 4 years’ experience in credit scorecard or forecasting model (Basel, CCAR etc.) development. - Strong programming skills in SAS/SQL/Python/R etc. - Expertise in quantitative analytics methodologies (survival models, transition matrix models, monte carlo simulation, regression, time series, decision tree, linear/nonlinear optimization etc.) skill. - In-depth understanding of consumer lending products, credit life cycle, risk management etc. - Knowledge of development of loss forecasting models for regulatory purpose e.g. CCAR, CECL, IFRS9, Basel etc. - Experience in end-to-end modeling 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, & model production implementation) - Manage projects independently. - Ability to manage work in cross functional teams, including country/region’s business stakeholders, model validation and governance teams, and model implementation team - Effectively communicate model results to both technical and non-technical senior audience. - Present model results with over-sight for approvals - Good understanding of regulatory requirements - Good communication skill to communicate technical information verbally and in writing to both technical and non-technical audiences - Mentor/Manage 1- 3 junior modelers - **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. 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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