Regulatory Model Development- AVP

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Job Overview

Business/ Dept.

Objectives:

Positions within USPB Risk Management of Citi for CCAR/DFAST stress loss model development for the US/International portfolios.

Core Responsibilities:

This position within Global Consumer Banking will develop CCAR/DFAST stress loss models for unsecured portfolios (e.g., Credit Card, Personal Loan 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

Education:

Advanced Degree (Bachelors required, Masters or PhD preferred) in Statistics, Applied Mathematics, Operations Research, Statistics, Economics, Quantitative Finance etc. MBA s should apply only if they are interested in career in specialized quantitative risk management discipline.

Skillset

• Role involves strong programming (SAS, R, Matlab etc) and quantitative analytics (regression, time series, decision tree, linear/nonlinear optimization etc) skill.
• 8+ years analytic experience
• Experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses
• 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)
• At least 4 years’ experience in credit scorecard or loss forecasting model (Basel, CCAR etc) development.

• Experience in working for developed markets (US/international)
• 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

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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

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

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