CCAR Secured Model Analyst II- C10

The Position within Global Consumer Risk Management of Citi for CCAR/DFAST/CECL and other stress testing regulations for stress loss model development for the secured 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.

• 2-4 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 model development or (risk/marketing)- credit scorecard development, Basel modeling, stress loss preferred or credit policy analytics

• 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 skill to communicate technical information verbally and in writing to both technical and non-technical audiences

• Expected to work with moderate supervision and guidance

• Work as an individual contributor