C11 - Officer CCAR Unsecured Model Development
Citi
Mumbai, India
3d ago

CCAR Quantitative Modeler Unsecured Products

Description :

  • This position within Global Consumer Banking will develop CCAR / CECL models for 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 / CECL model development
  • Develop segment and / or account level CCAR / CECL 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 / CECL models built
  • Qualifications :

  • Advanced Degree (Masters required, PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline
  • 5+ 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 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 stress loss 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
  • Work as an individual contributor
  • Grade : All Job Level - All Job FunctionsAll Job Level - All Job Functions - IN

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