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C12-CCAR Secured Model Development

Job Req ID 21354091 Primary Location Mumbai, India Job Category Decision Management
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Business/ Dept.

Objectives:

Positions within Global Consumer Risk Management of Citi for CCAR/DFAST stress loss model development for the secured and unsecured portfolios.

Core Responsibilities:

This position within Global Consumer Banking will develop CCAR/DFAST stress loss models for secured portfolios (e.g., Home Equity, 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

Education:

Advanced Degree (Masters required 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.
  • 7 - 10 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 forecasting model (Basel, CCAR etc) development.

  • At least 3 -4 years’ 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:

Decision Management

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Job Family:

Specialized Analytics (Data Science/Computational Statistics)

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Time Type:

Full time

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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.

Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. 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.

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