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Quantitative Model Development Lead

2 months ago


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

Citibank Canada is seeking a highly skilled Quantitative Model Development Lead to join our team in Risk Management. As a key member of our team, you will be responsible for leading model development efforts to build best-in-class models for macroeconomic and financial forecasting.

Key Responsibilities
  • Lead model development efforts to build predictive models for macroeconomic and financial variables, such as GDP, unemployment, and interest rates.
  • Conduct rigorous analytical research to identify causal drivers and support methodological approaches.
  • Serve as an expert resource on econometrics and statistical testing.
  • Provide guidance to junior model developers and mentor them in their career development.
  • Produce macroeconomic scenario forecasts for regulatory-related processes, such as CECL and CCAR.
  • Utilize Python to build and test statistical models, ensuring clean, efficient, and well-documented code.
  • Communicate results to diverse audiences, including business stakeholders and senior management.
  • 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 and solid understanding of economic concepts.
  • Consistently demonstrates clear and concise written and verbal communication skills.
  • Self-motivated and detail-oriented, with demonstrated project management and organizational skills.
Education
  • Master's degree required, preferred.