Regulatory Model Development Analyst II

Discover your future at Citi

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Job Overview

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Quantitative Modeler – Unsecured/Secured Products

Description:

• This position within Personal Banking and Wealth Management will develop CCAR/CECL/Climate risk 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/Climate risk model development
  
• Develop segment and/or account level CCAR/CECL/Climate risk 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/Climate risk models built
  

Qualifications:

• Advanced Degree (Bachelors required, Masters / PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline
  
• 2+ 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 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
  
• Work as an individual contributor
  

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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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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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