Macroeconomist/Financial Economist - Vice President, Quantitative Risk and Stress Testing Macroeconomist/Financial Economist - Vice  …

in Hong Kong
Permanent, Full time
Last application, 13 Jun 21
in Hong Kong
Permanent, Full time
Last application, 13 Jun 21
Macroeconomist/Financial Economist - 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.

Macroeconomist/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.

  • 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.
  • Manages model risk across the model life-cycle including model validation, ongoing performance evaluation and annual model reviews.
  • Produces analytics and reporting used to manage risk for Citi's operations.
  • Translates operational requests from the business into programming and data criteria and conduct systems and operational research in order to model expected results.
  • Assists in the development of analytic engines for business product lines.
  • Communicates results to diverse audiences.
  • Conducts analysis and packages it into detailed technical documentation report for validation purposes sufficient to meet regulatory guidelines and exceed industry standards.
  • Participates on teams to solve business problems.
  • Identifies modeling opportunities that yield measurable business results.
  • Provides guidance to junior validators as and when necessary.
  • Manages stakeholder interaction with model developers and business owners during the model life-cycle.
  • Represents the bank in interactions with regulatory agencies, as required.
  • Presents model validation findings to senior management and supervisory authorities.
  • Provides effective challenge to model assumptions, mathematical formulation, and implementation.
  • Assesses and quantifies model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
  • Contributes to strategic, cross-functional initiatives within the model risk organization.
  • 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.
Required Qualification:
  • Minimum a Master's degree in Economics, Econometrics, mathematics, statistics or equivalent.PhD preferred.
  • 4-5 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, Macroeconometircs, business forecasting is essential to be successful in this role.
  • Background and experience in consumer or commercial risk, especially forecasting models is a plus.

Job Family Group:
Risk Management
Job Family:
Risk Analytics, Modeling, and Validation
Time Type:

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