Regulatory Risk Model Development Analyst II
Citi
full-time
Posted on:
Location Type: Hybrid
Location: Gurgaon • India
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About the role
- Participate in building champion/benchmark models for CCAR, CECL, IFRS9, and other regulatory/internal purposes
- 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
Requirements
- 2+ years of experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, or econometric modeling
- Strong programming (SAS, SQL, Python, R, etc.) and quantitative analytics skills
- Master’s/University degree or equivalent experience in Economics, Mathematics, Statistics, Finance of other quantitative discipline
- PhD degree in Statistics, Economics, Finance, Biomedical Engineering or other quantitative discipline preferred
Benefits
- Health insurance
- 401(k) matching
- Paid time off
- Flexible work arrangements
- Professional development opportunities
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 modelingdata cleansingstatistical analysisbacktestingforecast sensitivity analysismodel robustness tests
Certifications
Master’s degreePhD degree