Financial Economist - Assistant Vice President, Quantitative Risk and Stress Testing
Citi's Economic Forecasting Team (EFT) under Quantitative Risk and Stress Testing (QRS); a global risk function is seeking to add a Macroeconomist/Econometrician who would be expected to provide thought leadership in designing, developing and executingstatistical and econometric methods for forecasting hundreds of variables that are grouped into macroeconomic and financial variables.These forecasts are used as inputs by the firm's 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 EFT, provided by the local country regulators or a local country economist. The team's current coverage includes Citi's 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.
Financial Economist responsible for designing hypothetical macro-financial scenarios, derive key variables that will govern a scenarios(s) that will used by Citi's global franchises implementing ICAAP, under the Basel II, Pillar guidance.Incumbents will be involved in building small scale scenario models and then derive algorithms for conditional forecasting expansion across hundreds of variable, maintain proper model documentations, process flow, judgmental model enhancements, as needed and full ownership of the modeling process.
Applies in-depth disciplinary knowledge, contributing to the development of new techniques and the improvement of processes and work-flow for the area or function. Integrates subject matter and industry expertise within a defined area. Requires in-depth understanding of how areas collectively integrate within the sub-function as well as coordinate and contribute to the objectives of the function and overall business. Evaluates moderately complex and variable issues with substantial potential impact, where development of an approach/taking of an action involves weighing various alternatives and balancing potentially conflicting situations using multiple sources of information. Requires good analytical skills in order to filter, prioritize and validate potentially complex and dynamic material from multiple sources. Strong communication and diplomacy skills are required. Regularly assumes informal/formal leadership role within teams. Involved in coaching and training of new recruits
Significant impact in terms of project size, geography, etc. by influencing decisions through advice, counsel and/or facilitating services to others in area of specialization. Work and performance of all teams in the area are directly affected by the performance of the individual. Responsibilities:
- The incumbent will be responsible for providing both a subject matter expertise and hands on experience in econometric model development, execution and assessment.
- Be able to analyze in great detail macroeconomic scenarios and suggest judgmentally or using a model as needed different potential forward looking paths.
- 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.
- Following and analyzing economic and political developments in key developed and emerging market economies, assessing vulnerabilities, and making economic forecasts.
- 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.
- 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 EFT's forecasts.
- Articulate and disseminate rationale for forecasts based on macroeconomic and financial linkages, within the backdrop of a countries, monetary, fiscal and trade policies.
- Develops, enhances, and validates the methods of measuring and analyzing risk, for all risk types including market, credit and operational. Also, may develop, validate and strategize uses of scoring models and scoring model related policies.
- Conducts statistical analysis for risk related projects and data modeling/validation.
- Applies quantitative and qualitative data analysis methods including SAS programming, Structured Query Language (SQL) to extract, transform and analyze data and Visual Basic programming language.
- Prepares statistical and non-statistical data exploration, validate data, identify data quality issues.
- Conducts data analysis, data mining, read and create formal statistical documentation, reports and work with Technology to address issues.
- Analyzes and interprets data reports, make recommendations addressing business needs.
- Uses Predictive modeling methods, Optimizing monitoring systems, document optimization solutions, and present results to non-technical audiences; write formal documentation using statistical vocabulary.
- Generates statistical models to improve methods of obtaining and evaluating quantitative and qualitative data and identify relationships and trends in data and factors affecting research results.
- Validates assumptions; escalate identified risks and sensitive areas in methodology and process.
- Automates data extraction and data preprocessing tasks, perform ad hoc data analyses, design and maintain complex data manipulation processes, and provide documentation and presentations.
- Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.
- Minimum a Master's degree in Economics, Econometrics, mathematics, statistics or equivalent.
- 2+ 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.
Job Family Group:
- 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, Macroeconometircs is essential to be successful in this role.
- Background and experience in consumer or commercial risk, especially forecasting models would be a plus.
Risk Management Job Family:
Risk Analytics, Modeling, and Validation Time Type:
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