Macroeconomist/Financial Economist Manager - Senior Vice President
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.
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.
SVP role will require managing a small team of economic and financial analysts. Responsibilities
- The incumbent will manage a small team and own and be accountable the complete suite pf process that is required to generate the ICAAP stress scenarios.
- 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.
- Develop models and oversee model development, validation, and deployment efforts.
- Advances Risk Management methodology and integrate models into business decisions and planning.
- Manage successful annual quantitative and qualitative assessments and submissions.
- Works with large datasets and complex algorithms to solve data science challenges.
- Leverages big data to develop innovative deployable solutions.
- Help introduce best-in-class, cutting edge Model techniques to drive profitability through innovation.
- Ensures timely model performance tracking, and assist in process automation to drastically improve process/operation efficiencies (where possible) that will enable the business to make rapid decisions against market condition changes
- Ensures the compliance of development and validation of models with respect to internal and external guidelines.
- Supports the development of training curriculum and standards
- Partners with Risk and Decision Management organizations to understand the source of new data and continue to improve the process of defining, extracting and utilizing the new data
- Interacts with senior levels of management to facilitate understanding of usage of risk models and inform critical decisions.
- Provide leadership and guidance for junior modelers.
- 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, as well as effectively supervise the activity of others and create accountability with those who fail to maintain these standards.
Job Family Group:
- 10+ years experience with 5+ economist experience in a major financial, public or international institution
- Minimum a Master's degree in Economics, Econometrics, mathematics, statistics or equivalent.PhD preferred. Background from graduate level time series econometrics, Macroeconometircs, business forecasting is essential to be successful in this role.
- 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
- Background and experience in consumer or commercial risk, especially forecasting models is a plus
- Sound knowledge of statistical modeling concepts and industry best practices; experience with econometric and statistical modeling or application risk scoring. Previous experience in a role requiring managing/analyzing large data sets and presenting the data visually to senior management is highly desired.
- Excellent quantitative and analytic skills; ability to derive patterns, trends and insights, and perform risk/reward trade-off analysis.
- Strong Experience with analytical or data manipulation tools (e.g. SAS, SQL, R, C Programming in UNIX) Proficient with MS Office suite. Candidates must have experiences in SAS, MATLAB, R or Python programming environment.
- Ability to deliver compelling presentations and influence executive audiences.
- Excellent communicator; ability to engage and inspire team forward.
- Ability to drive innovation via thought leadership while maintaining end-to-end view.
- Effective cross-functional project, resource, and stakeholder management; effectively engage with internal audit and external regulators.
- Experience working in Big data environments; Intellectual curiosity to stay abreast of technological advances.
Risk Management Job Family:
Risk Analytics, Modeling, and Validation Time Type:
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