This position will focus on the model performance tracking, production and model implementation of CCAR/DFAST/ICAAP and CECL stress loss models for Citi's product portfolios on an US & international basis, including but not limited to leading the following activities:
Roles and Responsibility:
- Obtain/implement model from model development to production environment, and obtain updated data from countries/regions and/or Risk Architecture to run primary & benchmark CCAR models. Document all production related activities around production/model implementation/performance tracking.
- Run quarterly model prediction performance back-testing and sensitivity analysis against accuracy and other required model performance triggers for production models
- When performance shifts are observed, perform diagnostic analytics around drivers on the models
- Document & review base and stress CCAR model performance with assigned countries & regions quarterly and assist countries and regions in their use of the CCAR/DFAST models in business activities such as loss forecasting/benchmarking their loss forecasts and assessing the risk of various lending segments (i.e., Risk Appetite)
- Review model performance and drivers of any gaps or deterioration in model performance with MRM, IRMO, and regional and country risk managers
- Perform full, formal annual model review to follow MRM’s guidance and standards.
Qualifications
- Degree in Statistics, Applied Mathematics, Operations Research, Statistics, Economics, or other highly technical quantitative discipline
- 0-2 years’ experience in developing or tracking quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and econometric modeling of consumer credit risk
- Strong working knowledge in SAS Programming, ability to code from scratch, automate SAS processes etc.
- Strong working knowledge in UNIX environment, working on FTP sessions (Putty/Tectia etc.)
- Expertise in successfully executing either the model development or model performance tracking components of an analytical, econometric modeling-driven stress loss process
- Expertise in running model implementation and model tracking processes across consumer products and/or business lines
- Expertise in delivering technical presentations to countries, regions, internal modeling oversight functions, external regulators (e.g., FRB, OCC, FDIC), and internal audit functions
- Strong capabilities in communicating technical information verbally and in writing to both technical and non-technical audiences
- Candidates who have performed comparable functions to those listed above for significant, complex financial institutions at a consulting company, vendor, or service provider would be strongly considered as well
- Tableau, Advanced Excel, VBA Automation programming is preferred
- Proficient understanding of code versioning tools such as BitBucket, Job Scheduling in Autosys is considered a plus
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Job Family Group:
Risk Management
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Job Family:
Model Development and Analytics
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Time Type:
Full time
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Most Relevant Skills
Analytical Thinking, Business Acumen, Constructive Debate, Data Analysis, Escalation Management, Policy and Procedure, Policy and Regulation, Risk Controls and Monitors, Risk Identification and Assessment, Statistics.
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Other Relevant Skills
For complementary skills, please see above and/or contact the recruiter.
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