at Citi
Bulge Bracket Investment BanksPosted 7 days ago
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**Regulatory Risk Model Development Intermediate Analyst** at Citi develops and maintains stress loss models for US Unsecured portfolios, ensuring regulatory compliance. Key responsibilities include data QA/QC, model development, validation, and documentation. This intermediate role demands strong quantitative skills, 4+ years of experience in consumer credit risk modeling, proficiency in SAS, SQL, Oracle, and excellent communication skills.
- Compensation
- Not specified
- City
- Bengaluru
- Country
- India
Currency: Not specified
Full Job Description
Regulatory Risk Model Development Intermediate Analyst
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Job Overview
CCAR Quantitative Modeler Unsecured/Secured Products
Description:
Citis Risk Modeling Solutions department is responsible for the development, delivery, and monitoring of all credit risk models across Citis consumer lending portfolios globally. These models span two core activities: granting and managing credit to individual customers and delivering loss forecasts for stress testing (ex. CCAR), loan loss reserving (ex. CECL), and business planning. The Role Name Model/Anlys/Valid Intmd Anlyst - C11 position sits within the US Regulatory Model Development team and is responsible for developing stress testing and loss provisioning models for US Unsecured portfolios.
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/regions 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
- 4+ 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------------------------------------------------------
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.------------------------------------------------------
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