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VP Regulatory Model Development

Mumbai, India | Citi Private Bank

  • Industry:
    Financial Services
  • Position Type:
    Full-Time
  • Functions:
    Regulatory Affairs
  • Experience:
    10-12 years
Job Description:
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Obtain and conduct QA/QC on all data required for CCAR/CECL stress loss 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 and perform implementation tests

Work closely with cross functional teams, including business stakeholders, model validation and governance teams, and model implementation team

Support the regulatory submissions for Citi on CCAR/CECL and work on adhoc requests from Business and Independent Risk

Prepare responses/presentations to regulatory agencies on all CCAR models built

Education:

Advanced Degree (Masters required 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.

Skillset

Role involves strong programming (SAS, R, Matlab etc) and quantitative analytics (regression, time series, decision tree, linear/nonlinear optimization etc) skill.

10+ YEARS analytic experience

At least 5 years’ experience in credit scorecard or forecasting model (Basel, CCAR, CECL etc) development.

At least 5 years’ Experience in working for developed markets (US/international)

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., BASEL/ CCAR/DFAST/ CECL)

Experience in end-to-endmodeling 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)

Ability to manage work and relationships in cross functional teams, including country/region’s business stakeholders, model validation and governance teams, and model implementation team

Effectively communicate model results to both technical and non-technical senior audience.

Present/review model results with over-sightfor approvals

Exposure of technical presentations to internal model review functions and/or external regulators (e.g., FRB, OCC, FDIC) and internal audit functions

Good communication skill to communicate technical information verbally and in writing to both technical and non-technical audiences

Lead multiple projects independently.

Manage3-5 member team of modelers


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