CCAR CECL Model Development Manager|C11
Positions within PBWM Risk Management of Citi for CCAR/DFAST stress loss model development for the international portfolios.
This position within Global Consumer Banking will develop CCAR/DFAST stress loss models for international unsecured portfolios (e.g., Credit Card, Personal loan 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
Advanced Degree (Bachelors required, Masters 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.
Role involves strong programming (SAS, R, Matlab etc) and quantitative analytics (regression, time series, decision tree, linear/nonlinear optimization etc) skill.
5+ years analytics 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 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)
At least 2 years' experience in credit scorecard or loss forecasting model development.
At least 2 years' Experience in working for developed markets (US/international)
Expected to manage own projects fairly independently.
Ability to work effectively in cross functional teams, including country/region's business stakeholders, model validation and governance teams, and model implementation team
Present/review model results with senior management
Documentation of model for internal oversight/regulatory submission
Good communication skill to communicate technical information verbally and in writing to both technical and non-technical audiences
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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Qualified applicants will receive consideration without regard to their race, color, religion, sex, ****** orientation, gender identity, national origin, disability, or status as a protected veteran.
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2.00-7.00 Years