Regulatory Risk Model Development Analyst II
Citi
full-time
Posted on:
Location Type: Hybrid
Location: Mumbai • India
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About the role
- Participate in building champion/benchmark models for CCAR, CECL, IFRS9, climate risk, and other regulatory/internal purposes for Citi's international and U.S. secured portfolios.
- Under manager's guidance, perform data cleansing and analysis, identify static and dynamic portfolio drivers and macroeconomic drivers for portfolio risk performances, build PD/EAD/LGD models and conducting statistical analysis and backtests, perform forecast sensitivity analysis and model robustness tests, and provide model implementation and validation support.
- Create Model Development Document for validation and supporting Annual Model Reviews and Ongoing Performance Assessment of implemented models.
- Participate in model revalidation, model change and related documentation and validation support efforts.
- Ensure timely completion of assigned projects with high quality.
- 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/IFRS9/Climate models built.
Requirements
- 2+ years of experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, or econometric modeling and in-depth knowledge on the use of statistical models to solve business problems
- Past experience of climate risk stress testing or catastrophe modeling preferred
- Experience of end-to-end credit risk modeling highly preferred
- Experience of CCAR and CECL preferred
- Strong programming (SAS, SQL, Python, R, etc.) and quantitative analytics (regression, time series, decision tree, linear/nonlinear optimization etc.) skills preferred
- Strong communication skills required to translate model design, specification and performance details to technical and non-technical audiences.
Benefits
- Citi is an equal opportunity employer
- Qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.
Applicant Tracking System Keywords
Tip: use these terms in your resume and cover letter to boost ATS matches.
Hard Skills & Tools
quantitative analysisstatistical modelingloss forecastingloan loss reserve modelingeconometric modelingcredit risk modelingprogrammingregressiontime seriesdecision tree
Soft Skills
communication