CCAR Unsecured Model Development Analyst II

Citigroup Inc.; United States; Remote; USD 90,000 - 120,000; Full time

Job summary

A major financial services company is seeking a CCAR Quantitative Modeler to develop models for unsecured products. This role requires expertise in statistical modeling, a strong background in quantitative analysis, and effective communication skills. Candidates should have 2+ years of experience in related areas and a relevant advanced degree. The position involves collaborating with cross-functional teams and preparing regulatory documentation.

Qualifications

• 2+ years’ experience in quantitative analysis and statistical modeling.
• Experience with modeling of consumer credit risk stress losses is essential.
• Ability to communicate technical information to diverse audiences.

Responsibilities

• Develop CCAR/CECL models for unsecured portfolios.
• Conduct QA/QC on data for model development.
• Deliver comprehensive model documentation.

Skills

Statistical modeling

Quantitative analysis

Communication skills

SAS/SQL/Oracle

Education

Bachelor’s degree in Statistics or related field

Master’s/PhD preferred

Tools

SAS

SQL

Oracle

Unix

Microsoft Word

Excel

PowerPoint

Job description

Overview

CCAR Quantitative Modeler – Unsecured Products

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 business stakeholders, model validation and governance teams, and model implementation teams
• Prepare responses/presentations to regulatory agencies on all CCAR/CECL models built

Qualifications

• 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 is a strong plus
• Active role in performing analytical components of an econometric modeling-driven stress loss process (data collection, data integrity QA/QC/reconciliations, 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 is 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
• Advanced Degree (Bachelor’s required, Master’s/PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline

Other Information

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.

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