Canada Macroeconomic Forecasting Lead, Vp

6 months ago

Mississauga, Canada Citi Full time

**Responsibilities**:

- Developing hypothetical and BAU scenario forecasts for the following constructs:

- Canada sovereign interest rates, Canada swap rates, and CORRA (Canadian Overnight Repo Rate Average).
- Implied volatilities for Canada interest rates
- CAD/USD exchange rate
- Canada S&P/TSX Index and Canada MSCI Index
- Canada unemployment rate, Canada GDP, and Canada CPI
- Canada HPI
- Canada imports, exports, and reserves
- Canada money supply
- Supporting scenario projections used as part of the Canada regulatory and stress test scenarios
- Lead model development efforts to build best-in-class models for the constructs outlined above.
- Produce macroeconomic scenario forecasts for Canada macroeconomic variables in firmwide regulatory related processes, such as CECL, CCAR and IFRS 9
- Utilize Python to build and test statistical models. Write clean, efficient, and well-documented code.
- Conduct rigorous analytical research to identify causal drivers and to support methodological approaches
- Communicate results to diverse audiences.
- Identify modeling opportunities that yield measurable business results.

Qualifications:

- PhD and 2+ years of post-PhD work experience, or Master’s degree and 4+ years of work experience
- Experience generating forecasts for Canada macroeconomic or financial variables, particularly under hypothetical stress scenarios as part of regulator exercises
- Strong understanding of quantitative model development approaches
- Demonstrated expertise in implied volatilities for Canada interest rates
- Practical experience utilizing XGBoost as part of the model development process
- Practical experience writing programs to build and test predictive models
- Proficient in Python
- Consistently demonstrates clear and concise written and verbal communication skills
- Self-motivated and detail oriented
- Demonstrated project management and organizational skills and capability to handle multiple projects at one time.

**Education**:

- Master's degree required, Ph.D. strongly preferred
- **Job Family Group**:
Risk Management
- **Job Family**:
Risk Analytics, Modeling, and Validation
- **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.

View the "**EEO is the Law**" poster. View the **EEO is the Law Supplement**.

View the **EEO Policy Statement**.

View the **Pay Transparency Posting

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