Quantitative Modeler – Unsecured/Secured Products, Citi

Citi

Location:
India, Mumbai, Bengaluru

Category:
Finance

Contract Type:
Not provided

Salary:

Not provided

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Job 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.)

Job Responsibility:

Obtain and conduct QA/QC on all data required for CCAR/CECL/Climate risk model development
Develop segment and/or account level CCAR/CECL/Climate risk 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/Climate risk 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+ 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

Nice to have:

Experience with dynamics of unsecured or secured products a strong plus
Exposure to various stress loss modeling approaches at the segment or account level preferred

Additional Information:

Job Posted:
August 12, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Quantitative Modeler – Unsecured/Secured Products