Global Consumer Bank Quantitative Modeler Vice President

Citigroup
Wilmington, DE 19893
This position within Global Consumer Banking will develop CCAR/DFAST stress testing, loan loss reserve (CECL) and other regulatory models (IFRS9) for international unsecured portfolios (e.g., credit cards, installment loans, ready credit etc.). The responsibility includes but not limited to the following activities:


+ Obtain and prepare model development data

+ Select the champion modeling methodology after evaluating multiple options

+ Develop sophisticated statistical models to meet the regulatory requirements

+ Perform all required tests (e.g. sensitivity and back-testing)

+ Validate/recalibrate all models post-production to incorporate latest data. Redevelop as needed.

+ Deliver comprehensive model documentation

+ Work closely with cross functional teams, including country/regions business stakeholders, model validation and governance teams, and model implementation team

+ Prepare responses/presentations to regulatory agencies on all models built


**Qualifications:**


Advanced Degree (Masters required, PhD preferred) in Statistics, Mathematics, Operations Research, Economics, Financial Engineering, Mathematical Finance, Industrial Engineering, Data Science, and other highly quantitative disciplines


+ 2-8 years experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and econometric modeling

+ Experience with dynamics of unsecured products, with international experience a strong plus

+ Active role in performing some analytical components of model development (data collection, data integrity check, segmentation analysis, variable transformation, variable selection, model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, & model production implementation)

+ Exposure to various CCAR/CECL/IFRS9 modeling approaches at the segment or account level preferred

+ Exposure to project management of model development initiatives and prepare technical responses/presentations to internal model review functions and/or external regulators (e.g., FRB, OCC, FDIC) and internal audit functions

+ 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


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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:**


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Citi is an equal opportunity and affirmative action employer.


Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.


Citigroup Inc. and its subsidiaries ("Citi) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review **Accessibility at Citi (https://www.citigroup.com/citi/accessibility/application-accessibility.htm)** .


View the "EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) " poster. View the EEO is the Law Supplement (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/OFCCP\_EEO\_Supplement\_Final\_JRF\_QA\_508c.pdf) .


View the EEO Policy Statement (http://citi.com/citi/diversity/assets/pdf/eeo\_aa\_policy.pdf) .


View the Pay Transparency Posting (https://www.dol.gov/sites/dolgov/files/ofccp/pdf/pay-transp\_%20English\_formattedESQA508c.pdf)
Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.

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Global Consumer Bank Quantitative Modeler Vice President

Citigroup
Wilmington, DE 19893

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