JOE Listings (Job Openings for Economists)

August 1, 2015 - January 31, 2016


This listing is inactive.
Consumer Risk
Global CCAR Econometric Indicator

JOE ID Number: 2015-02_111453798
Date Posted: 09/30/2015
Date Inactive: 01/31/2016
Position Title/Short Description
Title: Global CCAR Econometric Indicator
Section: Full-Time Nonacademic
Locations: New York, New York, UNITED STATES
Dallas, Texas, UNITED STATES
Wilmington, Delaware, UNITED STATES
JEL Classifications:
E6 -- Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
C1 -- Econometric and Statistical Methods and Methodology: General
CCAR Econometric Modeler
Full Text of JOE Listing:

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

• 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: 01/31/2016
Application Instructions:
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