Model/Analysis/Validation Officer

Citi • Irving, TX

22h • Hybrid

About The Position

Citibank, N. A. seeks a Model/Analysis/Validation Officer for its Irving, TX location. Duties: Perform stress testing and work with loss forecasting models within the consumer credit card business to evaluate capital adequacy under various economic scenarios in accordance with CECL/CCAR frameworks. Apply econometric modeling techniques to design predictive models. Identify best drivers for logistic and linear regression for developing loss forecasting models used for CCAR/CECL regulatory submissions. Perform data cleaning and preprocessing using analytical tools such as SAS, SQL, and Python for statistical model development. Prepare model development data and perform segmentation to segregate populations based on different characteristics and business requirements for statistical models. Enhance existing CCAR/CECL regulatory models and analyze methods of evaluating quantitative and qualitative data. Analyze macro-level economic data such as GDP, unemployment rates, and interest rates and perform macro transformations to capture fluctuations in economic environment. Apply advanced quantitative and qualitative methods to handle large scale data and utilize tools such as Statistical Analysis Software programming, Python, and Structured Query Language to extract, transform, and analyze data trends and make recommendations addressing business needs. Evaluate model accuracy in terms of quarterly error rates comparing actual with predicted values to assess model performance and reliability over short, medium, and long terms. Assess forecast sensitivity and stability of models and test the stationarity of macro-economic variables. Collaborate cross functionality with partner teams including Business, Monitoring, Validation, and Implementation to deliver impactful insights and ensure cohesive and timely execution of all regulatory deliverables. Manage model risk including Model Development Documentation, tracking quarterly model performance to identify the root cause of performance breaches based on Model Risk Management guidelines to meet Global Risk Management policies and model governance policy. Validate assumptions and escalate identified risks and sensitive areas in methodology and processes. Create formal technical documentation and reports to meet regulatory requirements and present key insights to stakeholders and share knowledge with peers. Automate data extraction and data preprocessing tasks, perform ad hoc data analyses, design and maintain complex data manipulation processes and provide documentation and presentations. Support evolving regulatory and internal stress testing cases such as Global Standard Stress Testing, Rapid Stress Testing and Stress Loss Limits. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols.

Requirements

• Bachelor’s degree, or foreign equivalent, in Statistics, Business Analytics and Information Management, Engineering (any), or a related field, and six (6) years of experience in the job offered or in a related occupation performing data analysis activities.
• Six (6) years of experience must include: Utilizing statistical modeling techniques for risk modeling including logistic regression and linear regression; Conducting ad-hoc analysis, tracking and reporting on model performance, outcomes and emerging trends for senior management; Utilizing Statistical Analysis System (SAS), SAS Macros, SQL, R, Python, Anaconda, Unix for predictive analytics and Big Data platforms such as Hadoop and Hive for data extraction; Performing data cleaning and preprocessing using tools such as SAS, SQL and Python for model development and analytical deep dive; Leveraging statistical models to analyze key drivers that directly affect the profit and loss of an organization; and Performing model risk management activities including model documentation, model validation, performance monitoring, and calibration.
• In the alternative, employer will accept a Master’s degree and four (4) years of experience.
• Employer will accept pre- or post-Master’s degree experience.

Responsibilities

• Perform stress testing and work with loss forecasting models within the consumer credit card business to evaluate capital adequacy under various economic scenarios in accordance with CECL/CCAR frameworks.
• Apply econometric modeling techniques to design predictive models.
• Identify best drivers for logistic and linear regression for developing loss forecasting models used for CCAR/CECL regulatory submissions.
• Perform data cleaning and preprocessing using analytical tools such as SAS, SQL, and Python for statistical model development.
• Prepare model development data and perform segmentation to segregate populations based on different characteristics and business requirements for statistical models.
• Enhance existing CCAR/CECL regulatory models and analyze methods of evaluating quantitative and qualitative data.
• Analyze macro-level economic data such as GDP, unemployment rates, and interest rates and perform macro transformations to capture fluctuations in economic environment.
• Apply advanced quantitative and qualitative methods to handle large scale data and utilize tools such as Statistical Analysis Software programming, Python, and Structured Query Language to extract, transform, and analyze data trends and make recommendations addressing business needs.
• Evaluate model accuracy in terms of quarterly error rates comparing actual with predicted values to assess model performance and reliability over short, medium, and long terms.
• Assess forecast sensitivity and stability of models and test the stationarity of macro-economic variables.
• Collaborate cross functionality with partner teams including Business, Monitoring, Validation, and Implementation to deliver impactful insights and ensure cohesive and timely execution of all regulatory deliverables.
• Manage model risk including Model Development Documentation, tracking quarterly model performance to identify the root cause of performance breaches based on Model Risk Management guidelines to meet Global Risk Management policies and model governance policy.
• Validate assumptions and escalate identified risks and sensitive areas in methodology and processes.
• Create formal technical documentation and reports to meet regulatory requirements and present key insights to stakeholders and share knowledge with peers.
• Automate data extraction and data preprocessing tasks, perform ad hoc data analyses, design and maintain complex data manipulation processes and provide documentation and presentations.
• Support evolving regulatory and internal stress testing cases such as Global Standard Stress Testing, Rapid Stress Testing and Stress Loss Limits.

Benefits

• 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.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level