Consumer Credit Risk Model Developer/Analyst, AVP (Hybrid)

This position within Global Consumer Banking will develop CCAR/DFAST stress testing, loan loss reserve (CECL) and other regulatory models (IFRS9) for international unsecured portfolios (e.g., credit cards, installment loans, ready credit etc.). The responsibilities include but not limited to the following activities:

• Obtain and prepare model development data and macroeconomic data
• Select the champion modeling methodology after evaluating multiple options
• Develop sophisticated statistical models to meet the regulatory requirements
• Perform all required tests (e.g. sensitivity and back-testing)
• Validate/recalibrate all models post-production 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 models built
• Review production results and provide analytical support to inform business decisions

Qualifications:

• Advanced Degree (Masters required, PhD preferred) in Statistics, Mathematics, Operations Research, Economics, Financial Engineering, Mathematical Finance, Industrial Engineering, Data Science, and other highly quantitative disciplines
• 0-3 years’ experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and econometric modeling of consumer credit risk stress losses (e.g., CCAR/DFAST)
• Proficiency in SAS/SQL/Oracle/Unix/Microsoft Word, Excel and PowerPoint, or similar programming languages.
• Deep knowledge of macroeconomics and business cycles, experience with macroeconomic data
• Active role in performing some analytical components of model development (data collection, data integrity check, segmentation, variable transformation, variable selection, model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, & model production implementation)
• Exposure to various CCAR/CECL/IFRS9 modeling approaches at the segment or account level preferred
• Experience with dynamics of unsecured products, with international experience a strong plus

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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.