Business/ Dept. 

Objectives: 

Positions within USPB Risk Management of Citi for CCAR/DFAST stress loss model development for the International portfolios. 

Core Responsibilities: 

This position within Global Consumer Banking will develop CCAR/DFAST stress loss models for unsecured portfolios (e.g., Credit Card, Personal Loan 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 (Bachelors required, Masters 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.  

• 8+ 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 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) 

• At least 4 years’ experience in credit scorecard or loss forecasting model (Basel, CCAR etc) development. 

• At least 3 years’ Experience in working for developed markets (US/international)  

• Manage projects independently. 

• Ability to manage work in cross functional teams, including country/region’s business stakeholders, model validation and governance teams, and model implementation team 

• Effectively communicate model results to both technical and non-technical senior audience. 

• Present model results with over-sight  for approvals 

• Good understanding of regulatory requirements 

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

• Mentor 1- 3 junior modelers