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CCAR Secured model development - C10 Full-time Job

1 week ago Financial Services Mumbai   9 views
Job Details

Job ID:

  • Business/ Dept.

    Objectives:

    Positions within Global Consumer Risk Management of Citi for CCAR/DFAST stress loss model development for the secured and unsecured portfolios.

    Core Responsibilities:

    This position within Global Consumer Banking will develop CCAR/DFAST stress loss models for secured portfolios (e.g., Home Equity, Mortgage etc.). The responsibility includes but not limited to the following activities:

  • Obtain and conduct QA/QC on all data required for stress loss model development
  • Develop segment and/or account level 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 for regulatory agencies on all regulatory models built
  • Education:

    Advanced Degree (Masters required or PhD preferred) in Statistics, Applied Mathematics, Operations Research, Statistics, Economics, Quantitative Finance etc. MBA s should apply only if they are interested in career in specialized quantitative risk management discipline.

    Skillset

  • Role involves strong programming (SAS, R, Matlab etc) and quantitative analytics (regression, time series, decision tree, linear/nonlinear optimization etc) skill.
  • 2-5 years analytic experience
  • Experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses
  • Experience in model development or (risk/marketing)- credit scorecard development, Basel modeling, stress loss preferred or credit policy analytics
  • Experience in end-to-end modeling 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, & model production implementation)
  • Good communication skill to communicate technical information verbally and in writing to both technical and non-technical audiences
  • Expected to work with moderate supervision and guidance
  • Work as an individual contributor

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Company Description
Citibank India is the foreign bank in India with a full service onshore platform in the country. Its India headquarters is at Bandra Kurla Complex, Mumbai, Maharashtra. It is a subsidiary of Citigroup, a multinational financial services corporation headquartered in New York City, United States.