C12 - AVP Unsecured Regulatory Model Development
Citigroup Inc.
7 - 9 years
Bangalore
Posted: 9/25/2023
Job Description
The responsibility includes but not limited to the following activities:
- Obtain and conduct QA/QC on all data required for CCAR/CECL model development
- Develop segment and/or account level CCAR/CECL 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 to regulatory agencies on all CCAR/CECL models built
Qualifications:
- Advanced Degree (Masters required, PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline
- 7+ years’ experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses
- Experience with dynamics of unsecured products a strong plus
- Active role in performing some analytical components of an econometric modeling-driven stress loss 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, and model production implementation)
- Exposure to various stress loss modeling approaches at the segment or account level preferred
- Able to communicate technical information verbally and in writing to both technical and non-technical audiences
- Proficiency in SAS/SQL/Oracle/Unix/Microsoft Word, Excel and PowerPoint
- Mentor/manage 1 – 3 member team
About Company
Citigroup Inc. or Citi is an American multinational investment bank and financial services corporation headquartered in New York City. The company was formed by the merger of banking giant Citicorp and financial conglomerate Travelers Group in 1998; Travelers was subsequently spun off from the company in 2002. Citigroup owns Citicorp, the holding company for Citibank, as well as several international subsidiaries. Citigroup is incorporated in Delaware. Citigroup is the third largest banking institution in the United States; alongside JPMorgan Chase, Bank of America, and Wells Fargo, it is one of the Big Four banking institutions of the United States. It is considered a systemically important bank by the Financial Stability Board and is commonly cited as being too big to fail. It is one of the eight global investment banks in the Bulge Bracket.
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