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Model Analysis Validation Officer – Secured Risk Modeling, CitiMortgage

Job Req ID 21269366 Primary Location Wilmington, Delaware; Irving, Texas Job Category Risk Management
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This Vice President level position within Global Consumer Risk Management of Citi for CCAR/DFAST/CECL/IFRS9 loss model development for US and international mortgage and home equity portfolios.

This position will develop CCAR/DFAST/CECL/IFRS9 loss models for US and international mortgage and home equity portfolios.  Position responsibilities include but not limited to the following activities:

  • Obtain and conduct QA/QC on all data required for CCAR/CECL/IFRS9 loss model development
  • Develop segment and/or account level CCAR/CECL/IFRS9 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/IFRS9 models built

Qualifications:

  • Master’s Degree required (PhD preferred) in Statistics, Economics, Applied Mathematics, Operations Research, Quantitative Finance etc.
  • 5+ years’ work experience without Ph.D. Degree and 3+ years' work experience with Ph.D. Degree. At least 2 years’ experience in credit scorecard or forecasting model (Basel, CCAR, CECL, IFRS9 etc) development.
  • Role involves strong programming (SAS, Python, R, etc.) and quantitative analytics (regression, time series, decision tree, linear/nonlinear optimization etc) skills. Eviews programming skills a plus.
  • Experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses (e.g., BASEL/ CCAR/DFAST/IFRS9/CECL)
  • 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)
  • Good communication skills to communicate technical information verbally and in writing to both technical and non-technical audiences

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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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