Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.
Citi’s Mission and Value Proposition explains what we do and Citi Leadership Standards explain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients’ and the public’s trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.
Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.
- This position within Global Consumer Risk Management will develop CCAR/DFAST stress loss models for international unsecured portfolios (e.g., credit cards, installment loans, ready credit etc.). The responsibility includes but not limited to the following activities:
- Obtain and conduct QA/QC on all data required for CCAR stress loss model development
- Develop segment and/or account level CCAR 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 models built
- Advanced Degree (Masters required, PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, or other highly technical quantitative discipline
- 10-12year’s overall experience. 8+ years’ experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses (e.g., CCAR/DFAST)
- Experience with dynamics of unsecured products, with international experience 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, & model production implementation)
- Exposure to various CCAR modeling approaches at the segment or account level preferred
- Exposure to project management of model development initiatives and the delivery of technical presentations to internal model review functions and/or external regulators (e.g., FRB, OCC, FDIC) and internal audit functions
- 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
- Job ID: 17055864