Company Name:-
Citi

Job Location:-
Mumbai, Maharashtra

Job Summary:-
C13-VP-REGULATORY MODELING LEAD- UNSECURED LENDING
CCAR Quantitative Modeler – Unsecured Products
Description:
This position within Global Consumer Banking will develop CCAR/CECL/IFRS9/IFRS9 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/IFRS9/IFRS9/IFRS9 model development
Develop segment and/or account level CCAR/CECL/IFRS9/IFRS9 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/IFRS9/IFRS9 models built
Qualifications:
Advanced Degree (Masters required, PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline
10+ 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 in managing mid to large sized teams and managing projects and stakeholders.

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
Manage 5+ member team
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Job Family Group:
Risk Management
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Job Famil

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