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CCAR Quantitative Modeler – Unsecured Products

https://www.citi.com/ Logo

Citi

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Location:
India , Gurgaon

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Category:

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Contract Type:
Not provided

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Salary:

Not provided

Job Description:

This position within US Personal Banking Risk will develop CCAR/CECL models for unsecured portfolios (e.g., credit cards, installment loans etc.)

Job Responsibility:

  • Obtain and conduct QA/QC on all data required for CCAR/CECL model development
  • Develop segment and/or account level CCAR/CECL 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 models built

Requirements:

  • Advanced Degree (Bachelors required, Masters / PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline
  • 2-5 years’ experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses
  • Experience with dynamics of unsecured or secured 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
  • Work as an individual contributor

Additional Information:

Job Posted:
April 24, 2025

Employment Type:
Fulltime
Work Type:
On-site work
Job Link Share:

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