Job Location: Bangalore
JOB DESCRIPTION:
This position will focus on the optimization, model implementation of CCAR/DFAST/ICAAP and CECL stress loss models for Citi’s unsecured product portfolios on an international basis, including but not limited to leading the following activities:
Roles and Responsibility:
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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. 4 -
As part of model implementation exercise, Run 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 Model Implementation Addendum for base and stress CCAR model performance with assigned countries & regions 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 -
Support the model implementation efforts towards migrating the existing model codes framework onto SAS Stratum platform. Engage with various stakeholders on preparing the right process flow, and complete this exercise for all stay markets models while managing other ongoing implementation projects. -
Qualifications -
Degree in Statistics, Applied Mathematics, Operations Research, Statistics, Economics, or other highly technical quantitative discipline -
4+ 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 – international a plus -
Demonstrated ability to lead and coordinate with analytic vendor/supplier/consulting -
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 -
Advanced Excel, VBA Automation, Python programming, EViews 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:
Risk Analytics, Modeling, and Validation
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Time Type:
Full time
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Citi is an equal opportunity and affirmative action employer.
Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.
Citigroup Inc. and its subsidiaries (“Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.
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