VP Stress Loss Secured Model Production

Citibank - More jobs by this advertiser
VP Stress Loss Secured Model Production-19019810
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
  



11 October 2019
Location: India Kalmar Bangalore
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.

This career opportunity is no longer open.
Please search for current vacancies here.


Bookmark and Share
  • Previous Next


This website uses cookies

This website uses cookies to improve user experience. By using our website you consent to all cookies in accordance with our Cookie Policy.
I agree
Read more