About this role
Comprehensive Capital Analysis Review (CCAR) is an annual regulatory submission to US Federal Reserve Board (FRB). It is used to ensure that institutions have robust, forward-looking capital planning processes that account for their unique risks and sufficient capital to continue operations throughout times of economic and financial stress. As part of CCAR, the Federal Reserve evaluates institutions' capital adequacy, internal capital adequacy assessment processes, and their plans to make capital distributions, such as dividend payments or stock repurchases.
The FP&A Statistical Modeler Model / Anlys / Valid Analyst II, part of FP&A Model Development team which is responsible for developing econometric time-series models to project balance sheet and income statement for different products / businesses / geographies within the firm to support CCAR and QMMF.
Responsibilities:
- Development of econometric forecasting models for keyBalance sheet and income statement line items for capital and business planning purposes. This includes the calculation of Net Interest Income (“NII”), Non-Interest Revenue (“NIR”), Interest Rate Exposure (“IRE”), and other associated interest rate risk metrics.
- Developing Champion and Challenger models using different time series forecasting methodologies to comply with SR 15-18 guidance.
- Development of Benchmark models using Industry data series to meet regulatory requirements
- Manage the model life-cycle from first-line of defense perspective and participate in Segmentation, Risk Identification, overlay discussions with Businesses and Finance teams.
- Responsible for understanding changes to quantitative requirements published by MRM inModel Testing Guidance and presenting the key changes to senior model development leads. Also, be a champion in addressing observations raised by MRM and Internal Audit in a quantitative manner by thinking out-of-box.
- Contribute to model convergence initiatives as part of firm’s Transformation journey for different businesses. Responsible to explain model results to front-office / FP&A teams during quarterly model runs under different scenarios provided by Economic Scenario Group.
- Responsible in seeking sign-offs on final selected models from key stakeholder such as Business heads, FP&A head, Treasury and Risk.
- Responsible for writing model development documentation and partner with Model Risk Management (MRM) to address their feedback.
Qualifications / skill sets:
- 2-4 years of relevant statistical /business experience in financial services
- Strong understanding of statistical techniques such asOrdinary Least Square regression (OLS), Fixed-effectPanel Regression, Error Correction Models, Seemingly Unrelated regression and Cointegration.
- Understanding of Machine learning algorithms will be a plus
- Hands-on experience in programming and modeling usingSAS, Python and R is preferred.
- Follow a culture of accountability and strict quality control of the data integrity and modeling process
- Ability to build key relationships with finance and business teams
- Must be able to present technical matters in a way that is meaningful to the audience
Education:
- Masters / PhD in quantitative discipline such as Statistics, Economics or related discipline
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Job Family Group:
Risk Management------------------------------------------------------
Job Family:
Model Development and Analytics------------------------------------------------------
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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Other facts
About Citi
Citi's mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients. We have over 200 years of experience helping our clients meet the world's toughest challenges and embrace its greatest opportunities. We are Citi, the global bank – an institution connecting millions of people across hundreds of countries and cities.
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What you'll do
- The role involves developing econometric forecasting models for balance sheet and income statement line items to support capital and business planning. Additionally, the analyst will manage the model life-cycle and collaborate with various teams to ensure compliance with regulatory requirements.
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