CCAR Quantitative Modeler – Unsecured Products, Citi

CCAR Quantitative Modeler – Unsecured Products

Citi

Location:
India, Gurgaon ▼
Bengaluru
Mumbai

Category:
Finance

Contract Type:
Not provided

Salary:

Not provided

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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

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