Citigroup

Position Title/Short Description

Full Text of JOE Listing:

Description
• This position within Global Consumer Risk Management will conduct CCAR/DFAST econometric modeling and analysis for Citi's international consumer product portfolios and perform macroeconomic data and forecast evaluation, including but not limited to the following activities:
• Run regressions and tests to establish quantitative relationship between loan loss variables such as PD, LGD and EAD of Citi global consumer loan portfolios and macroeconomic variables
• Guided by theoretical prior, provide and expand candidate explanatory macroeconomic variable lists to the CCAR global consumer loan modeling teams through econometric analysis
• Evaluate and participate in constructing pooled models/over-lay models to improve accuracy, sensitivity and robustness of consumer loan models
• Identify and evaluate internal and 3rd-party data source, projection methodologies/models/analytics
• Interact with other Citi CCAR-related functions and country risk teams
• Build challenger models using industrial loan performance data and macroeconomic variables

Qualifications
• Advanced Degree (Masters required, PhD preferred) in Economics with concentration in Econometrics and Macroeconomics/International Economics
• Experience in econometric modeling, forecasting and model validation in top financial/consulting institutions strongly preferred
• Expertise in credit risk/international macroeconomic modeling preferred
• Strong communicating skills to technical and non-technical audiences