Model/Analysis/Validation Senior Manager EL/MAVSM/JT
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Wilmington, DE 19801
Citibank, N.A. seeks a Model/Analysis/Validation Senior Manager for its Wilmington, Delaware location.
Duties: Develop mathematical and statistical models to be used for analysis and computational simulation within the Global Consumer Risk Management team. Statistical model development including logistic regression and decision tree model. Perform econometric modeling and use SAS and SQL programming in Windows and Unix environments. Perform computations and apply methods of numerical analysis to data. Develop quantitative segment and account level stress loss models for Citi’s international consumer portfolios for Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Test (DFAST). Develop the regulatory loss forecast model for international unsecured portfolios, including credit cards, installment loans, and ready credit, following Current Expected Credit Losses methodology issued by the Financial Accounting Standards Boards. Conduct quality assurance and control on data required for loss forecast model development. Build international CCAR stress loss models, and perform all required statistical tests and model performance tests such as sensitivity, back-testing, accuracy, and model stability. Deliver comprehensive model documentation, including Model Approval Packages and Technical Review Documents. Revalidate models incorporating the latest data per policy and regulatory requirements, and recalibrate or redevelop models as required by performance or aging triggers. Provide required CCAR model documentation for internal review. Use Oracle database, Microsoft Word, Excel and PowerPoint for data visualization, documentation and presentation. Deliver presentations to regulatory constituents on CCAR models built.
Requirements: Requires a Master’s degree in Statistics, Applied Mathematics, Operations Research, Economics, Mathematical Finance, or related quantitative field and 2 years of experience as Risk Analyst, Associate Risk Officer, Quantitative Modeler, Loss Forecasting Analyst, or related position involving risk analytics for consumer finance products. 2 years of experience must include: Econometric modeling; SAS and SQL programming in Windows and Unix environment; Statistical model development including logistic regression and decision tree model; Regulatory requirements; Dynamics of unsecured products; Oracle database; Microsoft Word, Excel and PowerPoint for data visualization, documentation and presentation. Qualified applicants submit resumes referencing job code EL/MAVSM/JT to Citigroup Recruiting Dept., 3800 Citigroup Center Drive, Tampa, FL 33610. Citigroup is an EOE Employer. Direct applicants only.