Global Mortgage Regulatory Model Development Intermediate Analyst

Citibank (Switzerland) AG; Bengaluru; On-site; Confidential; Full time

Job summary

Citibank (Switzerland) AG in Bengaluru invites an experienced Intermediate Analyst to contribute to global mortgage regulatory model development. You will cleanse data, build PD/EAD/LGD models, perform backtests, and prepare validation documentation for CCAR/CECL and IFRS9.

Strong SAS/SQL/Python/R skills and a Master’s or PhD in a quantitative field are expected, with hybrid work and cross-functional collaboration.

Qualifications

• 5+ years of quantitative analysis and risk modeling experience.
• Experience with end-to-end credit risk modeling is highly preferred.
• Experience with CCAR and CECL preferred.
• Strong programming and analytics skills (SAS, SQL, Python, R).
• Ability to present model design and results to technical and non-technical audiences.

Responsibilities

• Build champion/benchmark CCAR/CECL/IFRS9 models for Citi's U.S. secured portfolios.
• Perform data cleansing, portfolio driver analysis, and backtests; conduct sensitivity analyses.
• Create and review Model Development Documents for validation and annual reviews.
• Participate in model revalidation and governance documentation efforts.
• Communicate model results to regulatory agencies and senior stakeholders.

Skills

Quantitative analysis

Statistical modeling

Loss forecasting

Credit risk modeling

CCAR/CECL regulations

SAS

SQL

Python/R

Education

Master’s degree

PhD (preferred)

Tools

SAS

SQL

Python

R

Job description

## Global Mortgage Regulatory Model Development Intermediate AnalystApplyremote type: Hybridlocations: Bangalore Karnataka Indiatime type: Full timeposted on: Posted Todayjob requisition id: 26982833Citi’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:**Position responsibilities include but not limited to the following activities:* 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**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.* *View Citi’s EEO Policy Statement and the Know Your Rights poster.*