Quantitative Model Developer

7 days ago

Mississauga, Ontario, Canada 00416 Citibank Canada Full time
Job Title: Sr. Quantitative Model Developer

The Sr. 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 experienced model developer possesses 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.

While some background in economic model development is desirable, we encourage applicants with a strong model development background (even if no experience specific to macroeconomic/financial forecasting).

Key Responsibilities:
  • Lead model development efforts to build best-in-class models for various macroeconomic and financial concepts, such as GDP, unemployment, HPI, exchange rates, interest rates, credit spreads, etc.
  • Conduct rigorous analytical research to identify causal drivers and support methodological approaches
  • Serve as an expert resource with respect to econometrics and statistical testing
  • Provide guidance to junior model developers
  • 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:
  • 4+ years of post-PhD work experience, or 6+ years of post-Master's work experience
  • Strong understanding of quantitative model development approaches, preferably obtained through model development experience at a peer financial institution
  • Experience as a lead model developer, including mentoring and guiding junior developers
  • Very 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
  • Demonstrated project management and organizational skills and capability to handle multiple projects at one time
Education:
  • Master's degree required, preferred

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