Citi

Position Title/Short Description

Full Text of JOE Listing:

Research and Modeling - Wholesale Stress Testing
The role will advance the research, development and implementation of stress testing models used by Citigroup as part of the Comprehensive Capital Analysis and Review (CCAR) and internal stress testing exercises. This role covers a suite of models for credit loss estimation and the valuation of debt instruments, and their integration into Citi's global wholesale portfolio loss framework.

Primary responsibilities include:
-- Lead the design, testing, approval and implementation of the stress testing models
-- Engage with internal and external stakeholders as required, facilitate discussion, drive agreement on model development approach, and communicate quantitative methods and results

To qualify the applicants should have:
-- PhD in Economics/ Statistics/ Math / Other quantitative field.
-- 2- 5 years of progressive experience in advanced econometric/valuation modeling
-- Understanding and knowledge of wholesale business and products is preferred (Commercial Loans/Fixed Income securities, etc.)
-- Programming skills including SAS, R, SQL, VB, C/C++
-- Very strong organizational and communication (both verbal and writing) skills
-- Results driven approach to work

If you would like to apply to this job, please apply directly: https://citi.taleo.net/careersection/2/jobdetail.ftl?lang=en&job=16053144