Citibank - Assistant Vice President - GMRA

About GMRA

Citi is a leading global financial services company. It does business in more than 100 countries, providing consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage and wealth management.

Design modules for advanced scorecard development and analytical tools.Participate in the implementation of sophisticated financial models in live operating environments.Assist internal businesses in the ongoing management and validation of their scores and score-based strategies.

Job Description

POSITION TITLE: Assistant Vice President Grade/Level: C12

BUSINESS GROUP: GMRA

DEPARTMENT: GMRA

LOCATION: Mumbai

FUNCTION/GROUP: GMRA

ROLE & RESPONSIBILITIES:

Business/ Department Objectives:

This position within Global Consumer Risk Management will develop CCAR/DFAST stress loss models for international unsecured (e.g., credit cards, charge cards, installment loans, check-driven lines of credit, ready credit, overdraft protection lines)

Core Responsibilities:

- Obtain and QA/QC all data required for CCAR stress loss model development.

- Build international primary CCAR stress loss models (e.g., Interthix, account-level PD models)

- Build international benchmark CCAR stress loss models (e.g. segmented econometric models)

- Perform all required tests and measures of developed models (e.g., sensitivity, accuracy, volatility)

- Recalibrate all models annually to incorporate latest data

- Deliver presentations to regulatory constituents on all CCAR models built

- Work close with countries, regions, GMO, & CCAR coordinator(s) during modeling.

- Redevelop as model performance or aging triggers are tripped

Key Deliverable:

- Experience with the dynamics of unsecured products - with international credit cards and installment loans a strong plus.

- Active role in performing some of the analytical components of an econometric modeling-driven stress loss process (data collection, data integrity QA/QC/reconsilements, pre- processing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, & model production implementation

- Exposure to employing Argus' LookAhead (formerly Interthinx/Stategic Analytics) Dual Time Dynamics modeling techniques and software a significant value-add.

Education:

- Advanced Degree (Masters required, PhD preferred) in Statistics, Applied Mathematics, Operations Research, Statistics, Economics, or other highly technical quantitative discipline

Experience:

- 3-5+ years experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses (e.g., CCAR/DFAST) - including both pure model development and analytics to support overlays to compensate for data and model limitations.

- Knowledge of dynamics of unsecured products - with international credit cards and installment loans a strong plus

Preferred:

- Successfully performing many of the analytical components of an econometric modeling- driven stress loss process (data collection, data integrity QA/QC/reconsilements, pre-processing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, out-of- time testing, model documentation, & model production implementation

- Candidates who have performed comparable functions to those listed above for significant, complex financial institutions at a consulting

Skills:

- Skilled at communicating technical information verbally and in writing to both technical and non-technical audiences