Apply (opens in new window)

Discover your future at Citi

Working at Citi is far more than just a job. A career with us means joining a team of more than 230,000 dedicated people from around the globe. At Citi, youll have the opportunity to grow your career, give back to your community and make a real impact.

Job Overview

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 MRMs 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

------------------------------------------------------

Job Family Group:

Risk Management

------------------------------------------------------

Job Family:

Model Development and Analytics

------------------------------------------------------

Time Type:

Full time

------------------------------------------------------

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.

------------------------------------------------------

Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

------------------------------------------------------

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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 (opens in new window).

View Citis EEO Policy Statement (opens in new window) and the Know Your Rights (opens in new window) poster.

Apply (opens in new window)