Job Description
Group Responsibilities :
The modeling team within Citigroup's Corporate Financial Planning and Analysis team is responsible for:
- Developing, implementing, and maintain the models that support Citi's Balance Sheet and Income Statement forecasting
- These models are used by Citi's Business and Finance teams to support their Planning processes, and are used directly as forecasting tools for the bank's CCAR PPNR processes
- These models are used by Citi's Interest Rate Risk Management function, including supporting the Funds Transfer Pricing framework, in the management of the bank's interest rate risk
- The common structure of these models is that they translate projections of economic environment scenarios into forecasts for Citi's Balance Sheet and Income Statement
- In addition, the team supports broader Treasury ALM quantitative analytical needs
The candidate's job responsibilities include: - Develop statistical models for the forecasting of Citi's Balance Sheet and Income Statement, for use in Citi's business planning processes, risk management processes, and for regulatory-based stress testing processes.
- Develop models such that the model can translate macroeconomic and financial market indicators into scenario-based forecasts. Intent for these models is to utilize account level data/characteristics for enhancing our current set of PPNR models
- Fully document all developed models for use during reviews with senior management, model validation, Citi's business and functional teams, internal/external audit, and regulatory agencies (e.g., Fed, OCC, FDIC)
- Partner with Citi's business leaders such that the development, implementation, and use of developed forecasting models, ensures the appropriate design and use
- Partner with Citi's Operations and Technology team to ensure timely, efficient, and accurate implementation of developed models
Qualifications: - Minimum 3 years of experience in developing advanced statistical models for use in a financial institution setting
- Advanced degree in quantitative discipline (e.g., Statistics, Economics, Finance), Ph.D. preferred
- Proven track record of successful independent model development, with proven track record of successful interaction with business stakeholders, internal model risk management and audit, and external regulators
- Experience participating in complex end-to-end model development projects (business requirements, data capture, model design, build, validation, implementation, and use)
- Experience with developing PPNR models. Candidates that have experience utilizing account level data for credit cards modeling preferred, with emphasis on PPNR modeling, but not limited to
- Eagerness to learn about the relationship between the economic environment and the balance sheet/income statement
- Expert programming skills to develop statistical models, with expert capabilities in statistical software packages such as SAS, R, or Python preferred.
- Experience utilizing a Oracle database platform, including SQL scripting, preferred
- Experience developing models in a regulated environment (e.g., Fed, OCC, FDIC) preferred
- Excellent communication and interpersonal skills to allow collaboration with Citi colleagues
- Proven track record of successfully migrating models from development through production implementation
Job Family Group: Risk Management
Job Family: Risk Analytics, Modeling, and Validation
Time Type: Full time
Primary Location: New York New York United States
Primary Location Full Time Salary Range: $142,320.00 - $213,480.00
In addition to salary, Citi's offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.
Anticipated Posting Close Date: May 23, 2024
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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