VP - CCAR/CECL/Climate Risk model development

Citi is hiring a VP for CCAR/CECL/Climate Risk model development in Bengaluru, India. The role involves developing stress loss models for secured portfolios, conducting QA/QC, and collaborating with cross-functional teams. Candidates should have an advanced degree in a quantitative field, strong programming skills, and at least 10 years of analytical experience, including credit risk modeling. The position requires effective communication and project management skills.
Business
Dept
Objectives
Positions within PBWM Risk Management of Citi for CCAR
CECL
IFRS9
Climate stress loss model development for the secured portfolios
Core Responsibilities
This position within Global Consumer Banking will develop CCAR
CECL
IFRS9
Climate stress loss models for secured portfolios
e
g

mortgage

The responsibility includes but not limited to the following activities
Obtain and conduct QA
QC on all data required for stress loss model developmentDevelop segment and
or account level stress loss modelsPerform all required tests
e
g
sensitivity and back
testing
Validate
recalibrate all models annually to incorporate latest data
Redevelop as needed
Deliver comprehensive model documentationWork closely with cross functional teams
including country
region

s business stakeholders
model validation and governance teams
and model implementation teamPrepare responses
presentations for regulatory agencies on all regulatory models builtEducation
Advanced Degree
Bachelors required
Masters or PhD preferred
in Statistics
Applied Mathematics
Operations Research
Statistics
Economics
Quantitative Finance etc
MBA s should apply only if they are interested in career in specialized quantitative risk management discipline
SkillsetRole involves strong programming
SAS
R
Matlab etc
and quantitative analytics
regression
time series
decision tree
linear
nonlinear optimization etc
skill
10
years analytic experienceExperience in performing quantitative analysis
statistical modeling
loss forecasting
loan loss reserve modeling
and particularly econometric modeling of consumer credit risk stress lossesExperience in end
to
end modeling 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

model production implementation
At least 5 years

experience in credit scorecard or loss forecasting model
Basel
CCAR etc
development
At least 5 years

Experience in working for developed markets
US
international
Manage projects independently
Ability to manage work in cross functional teams
including country
region

s business stakeholders
model validation and governance teams
and model implementation teamEffectively communicate model results to both technical and non
technical senior audience
Present model results with over
sight for approvalsGood understanding of regulatory requirementsGood communication skill to communicate technical information verbally and in writing to both technical and non
technical audiencesMentor
Manage 3
5 junior modelers

Job Family Group
Risk Management

Job Family
Risk Analytics
Modeling
and Validation

Time Type
Full time

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
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