Global Mortgage Regulatory Model Development Intermediate Analyst

Citigroup Inc.; Bengaluru; On-site; INR 1,500,000 - 2,100,000; Full time

Job summary

Citigroup Inc. is seeking an experienced quantitative risk modeler to develop champion and benchmark CCAR/CECL models for its U.S. secured portfolios. The role involves data cleansing, driving macroeconomic analyses, and building PD/EAD/LGD models with rigorous validation support.

You will collaborate with validation and governance teams, prepare documentation, and present findings to both technical and non-technical leadership, ensuring regulatory compliance and robust risk assessment.

Qualifications

• 5+ years of quantitative analysis and modeling experience.
• Experience with CCAR and CECL preferred.
• Strong communication skills to explain model details to diverse audiences.
• End-to-end credit risk modeling experience is advantageous.

Responsibilities

• Participate in building champion/benchmark models for CCAR, CECL and other regulatory/internal purposes for Citi's U.S. secured portfolios.
• Perform data cleansing and analysis; identify portfolio drivers and macroeconomic factors; build PD/EAD/LGD models; conduct backtests and robustness tests.
• Create and review Model Development Documents for validation and annual reviews.
• Contribute to model revalidation and documentation of changes.
• Ensure timely delivery of high-quality project outputs.
• Collaborate with cross-functional teams including governance and validation teams.
• Prepare responses/presentations to regulators on CCAR/CECL/IFRS9/Climate models.
• Communicate model results clearly to technical and non-technical audiences.

Skills

Quantitative Analysis

Statistical Modeling

Loss forecasting

Credit Risk Modeling

CCAR/CECL Regulations

Education

Master's degree in Economics/Statistics

PhD in quantitative field

Tools

SAS

SQL

Python

R

Job description

Citi's Risk Modeling Solutions department is responsible for the development, delivery, and monitoring of all credit risk models across Citi's 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.

This position sits within the Global Mortgage Regulatory Model Development team and specifically part of the US Secured Regulatory Champion Models team and is responsible for developing champion/benchmark risk models for Citi's U.S. secured portfolios for CCAR, CECL, climate risk, and other regulatory/internal usage.

Responsibilities

• Participate in building champion/benchmark models for CCAR, CECL and other regulatory/internal purposes for Citi's U.S. secured portfolios.
• Independently perform data cleansing and analysis, identify static and dynamic portfolio drivers and macroeconomic drivers for portfolio risk performances, build PD/EAD/LGD models and conducting statistical analysis and backtests, perform forecast sensitivity analysis and model robustness tests, and provide model implementation and validation support with minimal manager support.
• Create and review Model Development Document for validation and supporting Annual Model Reviews and Ongoing Performance Assessment of implemented models.
• Participate in model revalidation, model change and related documentation and validation support efforts.
• Ensure timely completion of assigned projects with high quality.
• 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/IFRS9/Climate models built
• Effectively communicate model results to both technical and non-technical senior audience.
• Present model results with over-sight for approvals
• Good understanding of regulatory requirements
• Good communication skill to communicate technical information verbally and in writing to both technical and non-technical audiences

Qualifications

• 5+ years of experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, or econometric modeling and in-depth knowledge on the use of statistical models to solve business problems (years of experience in Master or PhD programs of Statistics, Economics, Finance, Biomedical Engineering or other highly quantitative discipline counts).
• Experience of end-to-end credit risk modeling highly preferred.
• Experience of CCAR and CECL preferred.
• Strong programming (SAS, SQL, Python, R, etc.) and quantitative analytics (regression, time series, decision tree, linear/nonlinear optimization etc.) skills preferred.
• Strong communication skills required to translate model design, specification and performance details to technical and non-technical audiences.

Skillset

• Quantitative Analysis
• Statistical Modeling
• Loss forecasting/Loan Loss Reserve Modeling/Econometric Modeling
• Credit Risk Modeling
• CCAR/CECL Regulations
• SAS, SQL, Python, R

Education

• Master’s/University degree or equivalent experience in Economics, Mathematics, Statistics, Finance of other quantitative discipline
• PhD degree in Statistics, Economics, Finance, Biomedical Engineering or other quantitative discipline preferred.

Job Family Group

Risk Management

Job Family

Model Development and Analytics

Time Type

Full time

Most Relevant Skills

Analytical Thinking, Credible Challenge, Data Analysis, Governance, Policy, Procedure, and Regulation, Risk Management Lifecycle.

Other Relevant Skills

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.

View Citi's EEO Policy Statement and the Know Your Rights poster.