The Model/Anlys/Valid Analyst II is a developing professional role. Applies specialty area knowledge in monitoring, assessing, analyzing and/or evaluating processes and data. Identifies policy gaps and formulates policies. Interprets data and makes recommendations. Researches and interprets factual information. Identifies inconsistencies in data or results, defines business issues and formulates recommendations on policies, procedures or practices. Integrates established disciplinary knowledge within own specialty area with basic understanding of related industry practices. Good understanding of how the team interacts with others in accomplishing the objectives of the area. Develops working knowledge of industry practices and standards.

Limited but direct impact on the business through the quality of the tasks/services provided. Impact of the job holder is restricted to own team.

Responsibilities:

• Develops, enhances, and validates the methods of measuring and analyzing risk, for all risk types including market, credit and operational. Also, may develop, validate and strategize uses of scoring models and scoring model related policies.
• Leads project in terms of development, programming, integration, testing, and validation of models.
• Provides analytical support on analysis and benchmarking.
• Prepares business as usual and ad-hoc reports in accordance with the Risk Management Teams priorities and requirements, running integrity checks on the reports and checking key numbers from other independently created reports.
• Participates in a project of constant improvement of risk analytics, modeling and validation systems and optimization of reports.
• Works on constant improvement of reporting system and optimization of Credit MIS Reports.
• Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.

Qualifications:

• Demonstrated programming (SAS, SQL, R, etc.). Knowledge of tools like VBA preferable.
• Basic knowledge of secured/unsecured banking products and US banking.
• Good communication skill to communicate technical information verbally and in writing to both technical and non-technical audiences.
• Proven analytical skills, with the ability to identify root causes and trends and anticipate horizon issues.
• Proficient in Microsoft Office (Word, Excel, and PowerPoint
• 2+ years experience in model implementation/validation/development preferable.

Education:

• Bachelor’s/University degree or equivalent experience

Description:

This position within US Personal Banking Risk will develop CCAR/CECL models for unsecured portfolios (e.g., credit cards, installment loans etc.)

Responsibilities:

• 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

• Advanced Degree (Bachelors required, Masters / PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline

Qualifications:

• 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

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Job Family Group:

Risk Management

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Job Family:

Model Development and Analytics

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Time Type:

Full time

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Most Relevant Skills

Analytical Thinking, Business Acumen, Constructive Debate, Data Analysis, Escalation Management, Policy and Procedure, Policy and Regulation, Risk Controls and Monitors, Risk Identification and Assessment, Statistics.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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