Risk Modeling Manager - Secured Products

CITI is seeking a Risk Modeling Manager for Secured Products in Bengaluru, India. The role involves developing CCAR, CECL, and climate risk models for secured and unsecured portfolios, conducting data QA/QC, and collaborating with cross-functional teams. Candidates should have an advanced degree in a quantitative field and at least 5 years of experience in quantitative analysis and statistical modeling. Proficiency in SAS, SQL, and other tools is required.
Description
This position within Personal Banking and Wealth Management will develop CCAR
CECL
Climate risk models for secured and unsecured portfolios
e
g

credit cards
installment loans
mortgage etc

The responsibility includes but not limited to the following activities
Obtain and conduct QA
QC on all data required for CCAR
CECL
Climate risk model developmentDevelop segment and
or account level CCAR
CECL
Climate risk stress loss modelsPerform all required tests
e
g
sensitivity and back
testing
Validate
recalibrate all models annually to incorporate latest data
Redevelop as neededDeliver 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 to regulatory agencies on all CCAR
CECL
Climate risk models builtQualifications
Advanced Degree
Bachelors required
Masters
PhD preferred
in Statistics
Applied Mathematics
Operations Research
Economics
MBA
Finance

or other highly quantitative discipline5
years

experience in performing quantitative analysis
statistical modeling
loss forecasting
loan loss reserve modeling
and particularly econometric modeling of consumer credit risk stress lossesExperience with dynamics of unsecured or secured products a strong plusActive 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 preferredAble to communicate technical information verbally and in writing to both technical and non
technical audiencesProficiency in SAS
SQL
Oracle
Unix
Microsoft Word
Excel and PowerPointWork as an individual contributor

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
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and its subsidiaries

Citi

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