Statistical Modeling Role - Model Risk Management Team - BANK

Business / Department Objectives:

The position will be part of the Model Risk Management, India (Bangalore) team. His/her primary role is to develop model for the team, balance forecasting, stress testing, PPNR, Loan Loss Reserves (LLR), and macro-economic forecasting models that are development as part of Citi's Comprehensive Capital Analysis and Review (CCAR) submissions. The roles are very critical to the organization, as MRM's authorization on the use of the CCAR models are based on the reviewer's evaluation results. This role extends across all Citi segments and legal entities, giving the successful applicant exposure to the Consumer Bank.

Specifically the role entails:

- Individual will lead the model development team responsible for evaluating CCAR/DFAST model

- Model development will be as per the requirements outlined in the MRM Policies and Guidance

- The individual is also expected to contribute in developing MRM Policy and Guidance

- He / She will support MRM senior management team in the US - be it policy related work or model evaluations.

- He / She will be co-ordinating with MRM leads, MRM governance and India team to get the tasks done.

- Masters or Doctoral degree with a specialization in Statistics, Mathematics, Finance or another quantitative discipline

- 3+ years in relevant consumer finance or credit card industry experience to include loss forecasting/stress testing model development, maintenance, tracking and management

- Strong analytical skills in conducting sophisticate statistical analysis using bureau/vendor data, customer performance data and marketing data to solve business problems.

- The ability to interpret and analyze large volumes of data, and at times complex information

- Excellent written and oral communication skills are a mandate. Ability to recognizing information and patterns in data that are not obvious, and focusing analytical efforts in pursuit of explanations, isolations of cause and effect.

- Preferably, good programming skills in advanced SAS and SQL in mainframe, UNIX and PC environments would be an advantage

The successful applicant will have a proven track record of evaluating models, as per the regulatory directives.

In addition, the successful applicant should have:

- Understanding of use of statistical models in making business decisions

- A good understanding of control frameworks and governance within a financial institution

Candidates who can demonstrate the following will be considered to have an advantage:

- Be comfortable working with, and articulating complex matters to senior managers

- Good time management skills

- Flexibility in approach and thought process

Must have:

- Team Leading Experience

- Hands on Experience in Risk Analytics/Risk Policy/Model Development/Model Validation etc.

- Exposure to Analytical Tool (SAS/R/Python etc.)

- Preferably Regulatory exposure (CCAR, FED, OCC, RBI etc.)