Citi
Financial Services
LossForecastingandStressTestingAnalytics-Analyst
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“Loss Forecasting and Stress Testing Analytics- Analyst at Citi. Skills: Loss Forecasting, Stress Testing, CCAR/DFAST, Quantitative Analysis. Calculate and manage net credit loss and loan loss reserve forecast. Build forecasts for credit losses and loan loss reserves”
What You'll Achieve.
Deliver high quality results; Achieve business targets
Industry & Context.
quantitative and problem-solving skills; Vision and ability to provide innovative solutions to core business practices
What They're Looking For.
Must Have
0 - 1 year of work experience in financial services, business analytics or management consulting, Post graduate degree with specialization in a quantitative discipline: Statistics, Mathematics, Economics, Econometrics, Management, Operations Research or Engineering, Understanding of risk management, written and oral communication skills
Nice to Have
Knowledge of credit card industry and key regulatory activities (CCAR) is a plus, Experience in CCAR / DFAST/Stress Testing is preferred, understanding and hands-on experience with econometric and empirical forecasting models, Experience in data science / machine learning is preferred with ability to handle large datasets
What You'll Do.
Calculate and manage net credit loss and loan loss reserve forecast
Build forecasts for credit losses and loan loss reserves
Work on CCAR/DFAST for retail portfolios
Understand key drivers of losses and loan loss reserves
Forecast losses / loan loss reserves meaningfully
Analyze underlying model outputs
Ensure models provide rational and logical output
Reconcile detailed financial data
Present findings to manager and stakeholders
Ensure best in class governance and documentation
Drive process efficiencies through automation
Execute quarterly loss / loan loss reserve forecasting
Execute stress testing processes
Perform associated governance activities
Cross-portfolio and cross-functional collaboration
Assist in review and challenge of existing models
Understand calculation of reserves and P&L components
Collaborate with other teams
Perform complex risk policy analytics
Perform econometric analysis
Evolve standardized business and submission documentation
Understand sources of data
Improve process of defining
extracting and utilizing data
Identify areas of improvement in BAU
Drive process efficiency through simplification and automation
Execute information controls
How You'll Work.
Team & Collaboration
Working with the Finance teams to build forecasts; Cross-portfolio and cross-functional collaboration on loss / loan loss reserve forecasting and stress testing analytics; Collaborate with other teams like Risk Modeling, Portfolio & New Account Forecasting, Data Reporting and Finance; Collaborate with Risk and Finance organization; Develop partnerships across multiple business and functional areas; Develops cross-functional relationships within and outside Risk Management
Communication Scope
written and oral communication skills; Ability to present the findings to their manager and various key stake-holders
Full Job Description
The role is within the Loss / Loan Loss Reserve Forecasting and Stress Testing team. This group is specifically tasked with calculating and managing the net credit loss and loan loss reserve forecast on a $150BN + portfolio and working with the Finance teams to build forecasts for credit losses and loan loss reserves under varying macro-economic and business conditions. The individual will work on efforts around Comprehensive Capital Analysis & Review (CCAR/DFAST) for retail portfolios with primary focus on NA cards. The individual should demonstrate strong work ethic, teamwork, quantitative and problem-solving skills. The individual is expected to leverage technical and business acumen to deliver high quality results. Responsibilities include but are not limited to understanding the key drivers of losses and loan loss reserves, their relative importance and the current trends; apply this knowledge effectively to forecast losses / loan loss reserves meaningfully and accurately; analyze underlying model outputs relative to other business, ensure that the models provide rational and logical output, Reconcile detailed financial data from disparate data sources, be able to present the findings to their manager and various key stake-holders; ensure best in class governance and documentation practices for these functions; drive process efficiencies through automation for the underlying data, forecasting and reporting processes. **Key Responsibilities:** * Work independently to effectively execute: * Quarterly loss / loan loss reserve forecasting and stress testing processes (CCAR, QMMF, Recovery Plan) deliverables for one or more retail portfolios with primary focus on NA cards * Associated governance activities (Manager Control Assessment, End User Computing, Activity Risk Control Monitoring and its Assessment Units) * Cross-portfolio and cross-functional collaboration on loss / loan loss reserve forecasting and stress testing analytics * Assist in review and challenge o
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