Regulatory Model Development Analyst II

6 days ago

Bengaluru, Karnataka, India Citi Full time US$ 1,00,000 - US$ 1,50,000 per year

Quantitative Modeler – Unsecured/Secured Products

Description:

  • This position within Personal Banking and Wealth Management will develop CCAR/CECL/Climate risk models for secured and unsecured portfolios (e.g., credit cards, installment loans, mortgage etc.)

The responsibility includes but not limited to the following activities:

  • Obtain and conduct QA/QC on all data required for CCAR/CECL/Climate risk model development
  • Develop segment and/or account level CCAR/CECL/Climate risk 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/Climate risk models built

Qualifications:

  • Advanced Degree (Bachelors required, Masters / PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline
  • 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

Job Family Group:

Risk Management

Job Family:

Risk Analytics, Modeling, and Validation

Time Type:

Full time

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.

Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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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