Loss Forecasting and Stress Testing Analytics Intmd Analyst

Discover your future at Citi

Working at Citi is far more than just a job. A career with us means joining a team of more than 230,000 dedicated people from around the globe. At Citi, you’ll have the opportunity to grow your career, give back to your community and make a real impact.

Job Overview

The Model/Anlys/Valid Intmd Anlyst is a developing professional role. The Model/Anlys/Valid Intmd Anlyst is a developing professional role. Deals with most problems independently and has some latitude to solve complex problems. Integrates in-depth specialty area knowledge with a solid understanding of industry standards and practices. The role is within the Loss / Reserve Forecasting and Stress Testing team. This group is specifically tasked with calculating and managing the net credit loss and credit reserves forecast for a large credit card portfolio and working with the Finance teams to build forecasts for credit losses and loan loss reserves under varying macro-economic and business conditions. The individual should demonstrate strong work ethic, teamwork, quantitative and problem-solving skills. The individual is expected to leverage technical and business acumen to deliver high quality results. Responsibilities include but are not limited to understanding the key drivers of losses and loan loss reserves, their relative importance and the current trends; apply this knowledge effectively to forecast losses /credit reserves meaningfully and accurately; analyze underlying model outputs relative to other business, ensure that the models provide rational and logical output, reconcile detailed financial data from disparate data sources, be able to present the findings to their manager and various key stake-holders and senior management across the organization; hold meaningful discussions and present to various review and challenge and / or audit teams and assist with regulatory reviews, ensure best in class governance and documentation practices for these functions; drive process efficiencies through automation, streamlining  of the underlying data, forecasting and reporting processes.

Responsibilities: Qualifications: Education:

• Work independently and with other team members to effectively execute:
• Quarterly loss / loan loss reserve forecasting and stress testing processes (CCAR, QMMF, Recovery Plan) deliverables for one or more retail portfolios with primary focus on NA cards
• Associated governance activities (Manager Control Assessment, End User Computing, Activity Risk Control Monitoring and its Assessment Units)
• Cross-portfolio and cross-functional collaboration on loss / loan loss reserve forecasting and stress testing analytics
• Assist in review and challenge of existing models, and model outputs to identify areas of improvement relative to portfolio & macro-economic trends.
• Understand the calculation of reserves, components of P&L, and the impact of CECL on CCAR results besides understanding the synergies between two processes.
• Perform complex risk policy analytics in terms of sizing the impact of credit/business/regulatory policies on loss performance and incorporate it into the stress testing process.
• Perform econometric analysis to estimate and explain the impact of changing macroeconomic trends on Portfolio Performance Losses, delinquency etc.
• Establish and continually evolve standardized business and submission documentation
• Collaborate with Risk and Finance organization to understand sources of data and continue to improve the process of defining, extracting and utilizing data.
• Identify areas of improvement in BAU and drive process efficiency through process simplification and automation (using Python, VBA, SAS,  tableau etc.) and use of Citi AI in day to day work.
• Execute information controls (version control, central results summary) to meet business objectives with utmost clarity.
• Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.
• 5+ years of work experience in financial services, business analytics or management consulting.
• Post graduate degree with specialization in a quantitative discipline: Statistics, Mathematics, Economics, Econometrics, Management, Operations Research or Engineering
• Strong understanding of risk management. Knowledge of credit card industry and key regulatory activities (CCAR) are a plus. Experience in CCAR / DFAST/Stress Testing is preferred.
• Strong understanding and hands-on experience with econometric and empirical forecasting models. Experience in data science / machine learning is preferred with ability to handle large datasets.
• Broad understanding of overall business model and key drivers of P&L including Net Credit Losses, Recoveries, Loss Reserves etc.
• Experience in managing Big Data capabilities, and business intelligence tools (e.g. Cognos, Tableau) and advanced MS office.       
• Technical expertise in using Statistical Tools such as SAS, SQL, Python, Essbase, etc.
• Vision and ability to provide innovative solutions to core business practices.
• Ability to develop partnerships across multiple business and functional areas.
• Strong written and oral communication skills.