CCAR Unsecured Model Analyst II- C10

Citi; United States; Remote; USD 90,000 - 130,000; Full time

Job summary

Citi is seeking a CCAR Quantitative Modeler for its US Personal Banking Risk team. The role involves developing stress loss models for unsecured products and requires an advanced degree and experience in quantitative analysis. Candidates will work collaboratively with cross-functional teams and must communicate technical details effectively.

Qualifications

• 2+ years’ experience in quantitative analysis and loss forecasting.
• Experience with unsecured or secured products preferred.
• Able to communicate technical information to diverse audiences.

Responsibilities

• Develop CCAR/CECL models for unsecured portfolios.
• Conduct QA/QC on data for model development.
• Prepare responses to regulatory agencies on models built.

Skills

Quantitative analysis

Statistical modeling

Econometric modeling

Data integrity QA/QC

Communication

Education

Advanced Degree in Statistics, Applied Mathematics, Operations Research, Economics, or MBA

Tools

SAS

SQL

Oracle

Unix

Microsoft Word

Microsoft Excel

Microsoft PowerPoint

Job description

• CCAR Quantitative Modeler – Unsecured Products

  Description:

• This position within US Personal Banking Risk will develop CCAR/CECL models for unsecured portfolios (e.g., credit cards, installment loans etc.)
• Responsibilities:
  • 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/region’s 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

  • 2+ 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

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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