ICAAP Economic Forecasting Manager

Enterprise Risk Analytics (ERA) is a part of Citi’s Risk Management organization that is responsible for Enterprise-level risk metrics including stress testing. Enterprise-wide stress testing program is sponsored by the Citigroup CRO, who reviews the stress testing results with the rest of the executive management team. Enterprise Risk Analytics & Stress Testing is responsible for Enterprise Stress Testing with Legal Entity Oversight (LEO), Material Legal Entity (MLE) Stress Testing and Internal Capital Adequacy Assessment Plan (ICAAP) execution and oversight, Firmwide Scenario Design and Expansion which cover Enterprise programs and all Legal Entities.

The Enterprise Scenario Design (ESD) team within ERA is responsible for designing macro-economic and market shock scenarios for all enterprise level stress testing, capital planning, and reserve adequacy usages.

The ICAAP Economic Forecasting Manager reports to the Head of ICAAP Scenario Design. S/He will be involved in the process that is required to generate the ICAAP stress scenarios for different legal Citi entities. S/he will be responsible for providing both a subject matter expertise and hands on experience in econometric model development, execution, and assessment. S/He will manage model development, model documentation and ongoing model maintenance, data quality controls, production oversight, reporting and reviews. This role also collaborates with the Economics and Strategy Research teams, other Risk functions, several line of businesses and Finance.

Responsibilities:

• Participate in the end-to-end process of ICAAP macroeconomic scenario design, including conducting research to come up with a range of possible scenario concepts, preparing the scenario narrative and forecasting macroeconomic series under the scenarios.
• Take part in the ICAAP macro scenario design related meetings.
• Develop models to expand enterprise scenario designs to all variables required by downstream models in EMEA, APAC and other regions.
• Document models and perform ongoing model maintenance to comply with the firm’s model risk management policy.
• Work with model implementation team to facilitate production run.
• Monitor model output and perform ad hoc analysis as needed.
• The role requires the candidate to employ great communication skills to signal to key stakeholders the results of their forecast and its implication to the broader regulatory initiative.

Qualifications:

• Experience in developing scenario narratives and expansion for ICAAP stress tests for internal and economic capital requirements.
• Extensive experience with economic research and model development experience in forecasting economic and financial variables.
• Expertise in macro-economic analysis, forecasting.
• Familiar with CCAR, CECL and ICAAP stress testing scenarios.
• 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 Python, R, Stata, or SAS programming environment.
• Previous experience in a role requiring managing/analyzing large data sets and presenting the data visually to senior management is highly desired.
• Masters’ degree or equivalent experience in Economics, Econometrics, mathematics, statistics equivalent. PhD degree is preferred.

We offer:

• Competitive salary & social benefits (e.g. private healthcare care, Benefit System, life insurance).
• Work in a friendly and diversified environment, appreciating differences in style and perspective and using them to add value to decisions leading to organizational success.
• A great environment for learning new technology and tools, online and instructor led training opportunities.
• Working in a friendly, dynamic and multinational environment.
• Opportunity to have an influence on the way you perform your tasks - our teams are constantly looking for new and better ways and we encourage all improvement ideas.
• A chance to make a difference with various affinity networks and charity initiatives.

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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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