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CCAR Unsecured Model Development Intmd Analyst
CitiMumbai, Maharashtra, India13 hours ago
Job descriptionObtain 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 ( 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 Advanced Degree (Bachelors required, Masters / PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline 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 products is 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
Description
- This position within USPB Risk will develop CCAR / CECL models for unsecured portfolios (, credit cards, installment loans etc.)
The responsibility includes but not limited to the following activities :
Qualifications :
Job Family Group : Risk Management
Job Family :
Risk Analytics, Modeling, and Validation
Time Type : Full time
Most Relevant Skills
Analytical Thinking, Business Acumen, Constructive Debate, Data Analysis, Escalation Management, Policy and Procedure, Policy and Regulation, Risk Controls and Monitors, Risk Identification and Assessment, Statistics.
Other Relevant Skills
For complementary skills, please see above and / or contact the recruiter.
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Analyst • Mumbai, Maharashtra, India
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