Menu

VP, Model/Anlys/Valid Officer (Small Business Banking)

at Citigroup in Wilmington, Delaware, United States

Job Description

This full-time Vice President (VP) position within Global Consumer Banking of Citigroup will develop CCAR/DFAST stress testing, loan loss reserve (CECL) and other regulatory models (IFRS9) for Citi’s international Small and Midsize Enterprises (SME) product portfolios. The responsibility includes but not limited to the following activities:

• Develop regulatory credit risk models to fulfil CCAR, CECL and IFRS9 requirements using large Citi SME performance and macroeconomic data

• Conduct statistical analysis and data cleansing on large databases through sophisticated econometric software coding

• Interact with other Credit Risk functions and Citi global country risk teams; present and defend the models to different kinds of audiences; write model documentations

• Build database/risk forecast systems using advanced econometrics software

• Perform all required tests (e.g. sensitivity and back-testing). Validate/recalibrate all models post-production to incorporate latest data. Redevelop as needed

• Deliver comprehensive model documentation. Work closely with model validation and governance teams, and model implementation team

Qualifications:

+ Advanced Degree (Masters required, PhD preferred) in Economics, Finance, Statistics or Applied Mathematics.

+ 4+ years’ experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and econometric modeling

+ Exposure to various CCAR/CECL/IFRS9 modeling approaches at the segment or account level preferred.

+ Industrial experience in credit risk or international macroeconomic modeling in financial/consulting institutions preferred. Knowledge of small business products a plus.

+ Active role in performing some analytical components of model development (data collection, data integrity check, segmentation analysis, variable transformation, variable selection, model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, & model production implementation)

+ Exposure to project management of model development initiatives and prepare technical responses/presentations to internal model review functions and/or external regulators (e.g., FRB, OCC, FDIC) and internal audit functions

+ Able to communicate technical information verbally and in writing to both technical and non-technical audiences

+ Excellent statistical/econometric programming skills strongly preferred (SAS/SQL, PYTHON, STATA, etc.


Job Family Group:

Risk Management


Job Family:

Risk Analytics, Modeling, and Validation


Time Type:


Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries (“Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi (https://www.citigroup.com/citi/accessibility/application-accessibility.htm) .

View the "EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) " poster. View the EEO is the Law Supplement (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/OFCCP\EEO\Supplement\Final\JRF\QA\508c.pdf) .

View the EEO Policy Statement (http://citi.com/citi/diversity/assets/pdf/eeo\aa\policy.pdf) .

View the Pay Transparency Posting (https://www.dol.gov/sites/dolgov/files/ofccp/pdf/pay-transp\%20English\formattedESQA508c.pdf)

Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.

To view full details and how to apply, please login or create a Job Seeker account
How to Apply Copy Link

Job Posting: JC181743695

Posted On: Apr 18, 2021

Updated On: Sep 27, 2021