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Senior Quantitative Model Developer

2 months ago


Mississauga, Ontario, Canada 00416 Citibank Canada Full time
About the Role

The Senior Quantitative Model Developer is a key professional within our Risk Management team at Citibank Canada. This role requires a strategic thinker who can leverage their expertise in quantitative model development to drive business growth and mitigate risk.

Key Responsibilities
  • Lead the development of best-in-class economic models for macroeconomic and financial forecasting, including GDP, unemployment, HPI, exchange rates, interest rates, credit spreads, and more.
  • Conduct rigorous analytical research to identify causal drivers and support methodological approaches, ensuring the accuracy and reliability of our models.
  • Serve as an expert resource on econometrics and statistical testing, providing guidance to junior model developers and stakeholders.
  • Collaborate with cross-functional teams to develop and implement macroeconomic scenario forecasts for regulatory-related processes, such as CECL, CCAR, and IFRS 9.
  • Utilize Python to build and test statistical models, ensuring clean, efficient, and well-documented code.
  • Communicate complex results to diverse audiences, including senior management, stakeholders, and clients.
  • Participate in teams to solve business problems and identify modeling opportunities that yield measurable business results.
Requirements
  • 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 and machine learning approaches like XGBoost.
  • 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, with the ability to handle multiple projects simultaneously.
Education
  • Master's degree required, preferred.