Vice President- Regulatory Model Development-C13

Posted:
8/27/2024, 10:17:20 PM

Location(s):
Bengaluru, Karnataka, India ⋅ Karnataka, India ⋅ Haryana, India ⋅ Gurgaon, Haryana, India

Experience Level(s):
Expert or higher ⋅ Senior

Field(s):
Data & Analytics

CCAR Quantitative Modeler – Unsecured/Secured Products

Description:

  • This position within USPB Risk Modeling Utility will develop CCAR/CECL models for secured and unsecured portfolios (e.g., credit cards, installment loans, mortgage etc.)

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 (Bachelors required, Masters / PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline
  • 13+ 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 in managing mid to large sized teams and managing projects and stakeholders.
  • Experience with dynamics of unsecured or secured 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 junior team members

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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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Citi

Website: https://www.citigroup.com/

Headquarter Location: New York, New York, United States

Employee Count: 10001+

Year Founded: 1812

Last Funding Type: Post-IPO Equity

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