Quantitative Model Specialist

1 month ago

Mississauga, Ontario, Canada Citigroup Inc. Full time
Job Title: Quantitative Model Developer

The Quantitative Model Developer is a strategic professional who closely follows the latest trends in their field and adapts them for application within their job and the business. This role requires solid technical, quantitative, and analytical skills, as well as a strong understanding of economic concepts. Developed communication skills are required to negotiate and collaborate with other team members.

Responsibilities:
  • Participate in model development efforts to build best-in-class models for a variety of macroeconomic concepts, such as GDP, unemployment, HPI, exchange rates, interest rates, credit spreads, etc.
  • Conduct rigorous analytical research to identify causal drivers and to support methodological approaches.
  • Execute projects requiring understanding of econometrics and statistical testing.
  • Produce macroeconomic scenario forecasts for 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.
  • Communicate results to diverse audiences.
  • Participate on teams to solve business problems.
  • Identify modeling opportunities that yield measurable business results.
Qualifications:
  • ~2+ years of post-Master's work experience or PhD.
  • ~ Strong knowledge of econometrics, with some knowledge of time series econometrics. An understanding of machine learning approaches like XGBoost is also helpful.
  • ~ Practical experience writing programs to build and test predictive models.
  • ~ Proficient in Python.
  • ~ Solid understanding of economic concepts.
  • ~ Consistently demonstrates clear and concise written and verbal communication skills.
  • ~ Self-motivated and detail oriented.
Education:
  • ~ Master's or PhD in a quantitative field.

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