CCAR Unsecured Model Development Analyst II
1 week ago
CCAR Quantitative Modeler – Unsecured Products
Description:
This position within US Personal Banking Risk will develop CCAR/CECL models for unsecured portfolios (e.g., credit cards, installment loans etc.)
Responsibilities:
- Obtain and conduct QA/QC on all data required for CCAR/CECL model development
- Develop segment and/or account level CCAR/CECL 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 to regulatory agencies on all CCAR/CECL models built
- Advanced Degree (Bachelors required, Masters / PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline
Qualifications:
- 2+ years' experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses
- Experience with dynamics of unsecured or secured products a strong plus
- Active role in performing some analytical components of an econometric modeling-driven stress loss 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, and model production implementation)
- Exposure to various stress loss modeling approaches at the segment or account level preferred
- Able to communicate technical information verbally and in writing to both technical and non-technical audiences
- Proficiency in SAS/SQL/Oracle/Unix/Microsoft Word, Excel and PowerPoint
- Work as an individual contributor
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Job Family Group:
Risk Management
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Job Family:
Risk Analytics, Modeling, and Validation
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Time Type:
Full time
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Most Relevant Skills
Analytical Thinking, Business Acumen, Constructive Debate, Data Analysis, Escalation Management, Policy and Procedure, Policy and Regulation, Risk Controls and Monitors, Risk Identification and Assessment, Statistics.
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Other Relevant Skills
Credible Challenge, Laws and Regulations, Management Reporting, Referral and Escalation, Risk Remediation.
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Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.
If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.
View Citi's EEO Policy Statement and the Know Your Rights poster.
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