AVP CCAR Unsecured Model Development

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AVP CCAR Unsecured Model Development-19010563
Description
 

CCAR Quantitative Modeler – Unsecured Products

 

Description:

  • This position within Global Consumer Banking will develop CCAR/DFAST stress loss models 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 conduct QA/QC on all data required for CCAR stress loss model development
  • Develop segment and/or account level CCAR 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 models built

Qualifications:

  • Advanced Degree (Masters required, PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline
  • 4+ years’ experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses (e.g., CCAR/DFAST)
  • Experience with dynamics of unsecured 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 CCAR 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

 


Qualifications
 

CCAR Quantitative Modeler – Unsecured Products

 

Description:

  • This position within Global Consumer Banking will develop CCAR/DFAST stress loss models 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 conduct QA/QC on all data required for CCAR stress loss model development
  • Develop segment and/or account level CCAR 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 models built

Qualifications:

  • Advanced Degree (Masters required, PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline
  • 4+ years’ experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses (e.g., CCAR/DFAST)
  • Experience with dynamics of unsecured 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 CCAR 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
  



16 March 2019
Location: India Marche Mumbai
Work type:
Full time
Sector:
Banking and Financial Services
Profession:
Other
PLEASE! No enquiries from Recruitment Agencies or Headhunters.

Only direct applications will be considered.

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