Lead Data Scientist-Quantitative Risk Modeler (Hybrid)

Company: Citi
Location: Wilmington
Posted on: March 18, 2023

Job Description:

This position within Personal Banking and Wealth Management will develop CCAR/CECL/IFRS9 loss forecasting models for international unsecured portfolios (e.g., credit cards, installment loans, ready credit etc.). The responsibility includes but not limited to the following activities:

• Obtain and conduct QA/QC on all data required for CCAR/CECL/IFRS9 loss forecasting model development
• Develop segment and/or account level CCAR/CECL/IFRS9 loss forecasting 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/IFRS9 models built Qualifications:
  
  Advanced Degree (Masters required, PhD preferred) in Statistics, Mathematics, Operations Research, Economics, Financial Engineering, Mathematical Finance, Industrial Engineering, Data Science, and other highly quantitative areas
  • 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 (e.g., CCAR/DFAST)
  • Experience with dynamics of unsecured products, with international experience 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, & model production implementation)
  • Exposure to various CCAR modeling approaches at the segment or account level preferred
  • Exposure to project management of model development initiatives and prepare technical responses/presentations to internal model review functions and/or external regulators (e.g., FRB, OCC, FDIC) and internal audit functions
  • 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 -
    
    Job Family Group:
    
    Risk Management -
    
    Job Family:
    
    Risk Analytics, Modeling, and Validation
    
    Time Type:
    
    Full time
    
    Primary Location:
    
    Wilmington Delaware United States
    
    Primary Location Salary Range:
    
    $121,560.00 - $182,340.00
    
    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. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi .
    
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Keywords: Citi, Wilmington , Lead Data Scientist-Quantitative Risk Modeler (Hybrid), Accounting, Auditing , Wilmington, Delaware