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Financial Planning & Analysis- CCAR Model Transformation Lead- C14

Location: Mumbai
Company: Citigroup
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Comprehensive Capital Analysis Review (CCAR) is a semi-annual US Federal Reserve regulatory submission. It is used to ensure that institutions have robust, forward-looking capital planning processes that account for their unique risks and sufficient capital to continue operations throughout times of economic and financial stress. As part of CCAR, the Federal Reserve evaluates institutions' capital adequacy, internal capital adequacy assessment processes, and their plans to make capital distributions, such as dividend payments or stock repurchases. CCAR includes a supervisory stress test to support the Federal Reserve's analysis of the adequacy of the firms' capital. Boards of directors of the institutions are required each year to review and approve capital plans before submitting them to the Federal Reserve.
Being the CCAR Model Transformation Lead , the incumbent will be responsible for end-to-end responsibility of conceptualizing the design for integrating business planning and capital planning models , sharing periodic updates to Senior Governance Group, presenting models to Federal Reserve / OCC / FDIC / Model Risk Management and align PPNR models with Citi's base operating plan.
The detailed responsibilities includes:
- Development of econometric forecasting models for key Balance sheet and income statement line items for capital and business planning purposes. This includes the calculation of Net Interest Income ("NII"), Non Interest Revenue ("Non-NIR"), Interest Rate Exposure ("IRE"), Economic Value Sensitivity ("EVS"), and other associated interest rate risk metrics.
- Deep understanding of statistical techniques such as Panel Regression, Error Correction Models, Seemingly Unrelated regression and Cointegration.
- Steering stakeholder conversations with Businesses, Finance, Treasury and Risk to seek their sign-offs on Champion models.
- Manage the Segmentation, Risk Identification, overlay discussions with Businesses and Finance teams.
- Responsible for reviewing and timely submission of Model development documentation (MDDTs) for entire PPNR modeling landscape to Model Risk Management.
- Align with Model Risk Management on modeling and validation practices and have periodic check-ins with them.
- Create a culture of accountability and strict quality control of the data integrity and modeling process
- Develop and maintain a comprehensive modeling system that maintains consistent approach to data quality and modeling methods, audit, back test, tracking, annual validation. This is critical in reducing the model operating risk
- Ability to build key relationships with finance and business teams
- Must be able to present technical matters in a way that is meaningful to the audience
- Ability to influence people and empower team members to be proactive and focused on partnerships and results
- Have managed a large team of minimum 8-12 statisticians / econometricians in previous role.
Other requirements:
- 12-14 years of relevant statistics/ economics experience in financial services
- Masters / PhD in quantitative discipline such as Statistics, Economics, Finance or related discipline
- Experience in CCAR Modeling / Reporting to OCC, FRB and FDIC.
- Experience in developing econometric and Panel regression models.
- Extensive hands-on experience in programming and modeling using SAS.
- Excellent presentation skills; the ability to translate complex financial schedules into meaningful presentations is critical; demonstrated analytical skills including the ability to synthesize quantitative and qualitative data to draw conclusions and assist on decision making
- Ability to build key cross functional and cross business relationships
- Broad and deep understanding of accounting principles, investment, accrual products and corporate finance concepts
- Demonstrated leadership and team management skills and ability to managing multiple projects and deadlines

Job Family Group:

Job Family:
Financial Planning & Analysis

Time Type:
Full time

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.
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Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.
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