US Regulatory Model Development Analyst II

Job description

## **Discover your future at Citi** Working at Citi is far more than just a job. A career with us means joining a team of more than 230,000 dedicated people from around the globe. At Citi, you’ll have the opportunity to grow your career, give back to your community and make a real impact. ## **Job Overview** **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. The Role Name **Model/Anlys/Valid Analyst II - C10** position sits within the US Regulatory Model Development team and is responsible for developing stress testing and loss provisioning models for US Unsecured portfolios. **The responsibility includes but not limited to the following activities:** - 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 - ## **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.*