Citi is of the world's largest, most analytically sophisticated financial service providers with activities spread over 50+ countries. Expertise in quantitative analysis is central to our success in all these markets. Our modelers thrive in a culture of mutual respect, excellence and innovation. We have several opportunities available for top-notch quantitative professionals.

Citi's Economic Scenario Design Group a global risk function is seeking to add a Macroeconomist/Econometrician who would be expected to provide thought leadership in designing macroeconomic scenarios, developing and executing statistical and econometric methods for forecasting thousands of variables grouped into macroeconomic and financial variables. These forecasts are used as inputs by the firm's entire suite of stress testing exercise and forward-looking loan loss reserve and capital requirement models.

These includes base case and alternative scenarios for BHC Stress Tests, Regulatory FRB CCAR Scenarios, Annual Corporate Plans, CECL and IFRS-9. The team's current coverage includes 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. This senior role would manage a small team of quantitative economists and statisticians.

Responsibilities:

• The incumbent will be responsible for providing both a subject matter expertise and hands on experience in econometric model development, execution and assessment.
• 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.

Required Qualification:

• Minimum a Masters (PhD preferred) in Economics, Econometrics, mathematics, statistics or equivalent
• 0-3+ years economist experience in a major financial, public or international institution.
• Expertise in macro-economic analysis, forecasting with a focus on empirical time series econometric methods, labor economics.
• 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 so that candidate provide clear guidance to junior econometric modeling team members.
• 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 econometric is essential to be successful in this role.
• A strong preference for CCAR and Stress Testing related exposure
• Proficiency in Microsoft Office applications (Excel, PowerPoint, Word). Familiarity with statistical packages such as SAS, SAS/EG, SAS/ETS, SAS/Base is required. Knowledge of MATLAB, R, and Python is a plus. Knowledge of financial analysis, modeling, systems and reporting preferred.
• Understanding of business line drivers for a large size global financial institution.
• Skilled at articulating methodological issues in a manner that is understandable for non-technical stakeholders
• An understanding of basic SQL queries.
• Background and experience in consumer or commercial risk, especially forecasting models.

Job Family Group:
Risk Management

Job Family:
Risk Analytics, Modeling, and Validation

Time Type:
Full time

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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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