The Position within Global Consumer Risk Management of Citi for CCAR/DFAST/CECL/Climate risk and other stress testing regulations for stress loss model development for the secured portfolios.
Core Responsibilities:
This position within Global Consumer Banking will develop CCAR/DFAST/Climate risk 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/preferred)
in Statistics, Applied Mathematics, Operations Research, Statistics, Economics, Quantitative Finance etc
Skillset
Role involves robust programming (Python, SAS, AI automation using advanced workflows etc) and quantitative analytics (regression, time series, decision tree, linear/nonlinear optimization etc) skill.
2+ 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 tes
📌 Risk Model Development (Gurugram)
🏢 Citi
📍 Gurugram