Avp-climate Risk Modeling - Bengaluru, India - Citi

Citi
Citi
Verified Company
Bengaluru, India

1 month ago

Deepika Kaur

Posted by:

Deepika Kaur

beBee Recuiter
Description

Description:


  • This position within Personal Banking and Wealth Management will develop CCAR/CECL/Climate models for secured and unsecured portfolios (e.g., credit cards, installment loans, mortgage etc.)

The responsibility includes but not limited to the following activities:

  • Obtain and conduct QA/QC on all data required for CCAR/CECL/Climate model development
  • Develop segment and/or account level CCAR/CECL/Climate stress loss models
  • Perform all required tests (e.g. sensitivity and backtesting)
  • 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/Climate models built

Qualifications:


  • Advanced Degree (Bachelors required, Masters / PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline
  • 7+ 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 modelingdriven stress loss process (data collection, data integrity QA/QC/reconcilements, preprocessing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, outoftime 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 nontechnical audiences
  • Proficiency in SAS/SQL/Oracle/Unix/Microsoft Word, Excel and PowerPoint
  • Mentor/manage 3 member team
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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

  • Citi is an equal opportunity and affirmative action employer.


Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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