JOE Listings (Job Openings for Economists)

February 1, 2015 - July 31, 2015

Citigroup

This listing is inactive.
Risk
CCAR
Global CCAR Econometric Indicator

JOE ID Number: 2015-01_111453106
Date Posted: 06/18/2015
Date Inactive: 07/31/2015
Position Title/Short Description
Title: Global CCAR Econometric Indicator
Section: Full-Time Nonacademic
Locations: New York, New York, UNITED STATES
Irving, Texas, UNITED STATES
JEL Classification: E -- Macroeconomics and Monetary Economics
Keywords:
CCAR
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

Application Requirements:
  • Application Instructions Below
Application deadline: 10/30/2015
Application Instructions:
Email Richard.davies@citi.com