12 days old

Model/Anlys/Valid Sr Mgr - VP

Citigroup
Irving, TX 75062
**Citis Scenario Design and Forecasting Team (SDFT) under the Enterprise Scenario Group (ESG) a global risk function is seeking to add a Macroeconomist who would be expected to provide thought leadership in designing/developing/ or executing statistical and econometric methods for forecasting hundreds of variables that are grouped into macroeconomic and financial variables. These forecasts are used as inputs by the firms entire suite of Internal Capital Adequacy Assessment Plan (ICAAP) stress testing exercise and forward-looking loan loss reserve, capital projection models. ICAAP stress tests are for internal capital or economic capital, which are requirements under Basel II pillar II.**


**The forecasts are based of hypothetical macroeconomic scenarios designed by SDFT, provided by the local country regulators or a local country economist.** **The teams current coverage includes Citis material legal entities and needs to expand to 20+ other countries where Citi has financial exposures. The variables are U.S. national, regional and international macroeconomic variables ranging from national income data, prices, labor, employment, trade, current account and international reserve positions. Financial coverage span across FX, sovereign rates, swap rates, credit spreads, CDS, bond prices, implied and realized volatilities, equities and commodity prices.**


**Responsibilities:**


+ **The incumbent will be responsible for providing both a subject matter expertise and hands on experience in econometric model development/execution/assessment.**

+ **Be able to analyze in detail stress testing scenario requirements, material risk for the entity, current macroeconomic conditions, and propose forward looking scenarios and suggest judgmentally or using a model as needed different potential forward looking paths.**

+ **Following and analyzing economic and political developments in key developed and emerging market economies, assessing vulnerabilities, and making economic forecasts.**

+ **Monitor global financial and economic trends and to identify and analyze key macro and market risks, along with their implications for the global economy and SDFT forecasts.**

+ **The role requires the candidate to employ leadership and communication skills to signal to key stakeholders the results of their forecast and its implication to the broader regulatory initiative.**

+ **Interpret production output results and ensure forecasts results are consistent with scenario assumptions, model assumptions and statistical and econometric foundation assumptions.**

+ **Conduct necessary forecast oversight to ensure historical data and forecast consistency.**

+ **Articulate and disseminate rationale for forecasts based on macroeconomic and financial linkages, within the backdrop of a countries, monetary, fiscal and trade policies.**


**Required Qualification:**


+ **Minimum a Masters degree in Economics, Econometrics, mathematics, statistics or equivalent. PhD preferred.**

+ **2-5+ years economist experience in a major financial, public, or international institution.**

+ **Expertise in macro-economic analysis, forecasting**

+ **Expertise in macro-economic scenario review and narratives and determine optimal set of macro/finance risk drivers, the respective forecast and forecast density.**

+ **Excellent verbal and written communication skills.**


+ **Candidates must have experiences in SAS, MATLAB, R or Python programming environment.**

+ **Previous experience in a role requiring managing/analyzing large data sets and presenting the data visually to senior management is highly desired.**

+ **Background from graduate level time series econometrics, Macroeconometrics, business forecasting is essential to be successful in this role.**

+ **Background and experience in consumer or commercial risk, especially forecasting models is a plus.**


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**Job Family Group:**


Risk Management

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**Job Family:**


Risk Analytics, Modeling, and Validation

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**Time Type:**


Full time

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Citi is an equal opportunity and affirmative action employer.


Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.


Citigroup Inc. and its subsidiaries ("Citi) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review **Accessibility at Citi (https://www.citigroup.com/citi/accessibility/application-accessibility.htm)** .


View the "EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) " poster. View the EEO is the Law Supplement (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/OFCCP\_EEO\_Supplement\_Final\_JRF\_QA\_508c.pdf) .


View the EEO Policy Statement (http://citi.com/citi/diversity/assets/pdf/eeo\_aa\_policy.pdf) .


View the Pay Transparency Posting (https://www.dol.gov/sites/dolgov/files/ofccp/pdf/pay-transp\_%20English\_formattedESQA508c.pdf)


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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.
Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.

Categories

Posted: 2022-05-13 Expires: 2022-06-12

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Model/Anlys/Valid Sr Mgr - VP

Citigroup
Irving, TX 75062

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