ICAAP Economic Forecasting Manager
Citigroup
- Warszawa, mazowieckie
- Stała
- Pełny etat
- Participate in the end-to-end process of ICAAP macroeconomic scenario design, including conducting research to come up with a range of possible scenario concepts, preparing the scenario narrative and forecasting macroeconomic series under the scenarios.
- Take part in the ICAAP macro scenario design related meetings.
- Develop models to expand enterprise scenario designs to all variables required by downstream models in EMEA, APAC and other regions.
- Document models and perform ongoing model maintenance to comply with the firm’s model risk management policy.
- Work with model implementation team to facilitate production run.
- Monitor model output and perform ad hoc analysis as needed.
- Communicates results to diverse audiences.
- Provide guidance to junior modelers as and when necessary.
- The role requires the candidate to employ great communication skills to signal to key stakeholders the results of their forecast and its implication to the broader regulatory initiative.
- Experience in developing scenario narratives and expansion for ICAAP stress tests for internal and economic capital requirements.
- Extensive experience with economic research and model development experience in forecasting economic and financial variables.
- Expertise in macro-economic analysis, forecasting.
- Familiar with CCAR, CECL and ICAAP stress testing scenarios.
- Expertise in macro-economic scenario review and narratives and determine optimal set of macro/finance risk drivers, the respective forecast and forecast density.
- Excellent verbal and written communication skills. Candidates must have experiences in Python, R, Stata, or SAS programming environment.
- Previous experience in a role requiring managing/analyzing large data sets and presenting the data visually to senior management is highly desired.
- Background from graduate level time series econometrics, macro-econometrics, business forecasting is essential to be successful in this role.
- Experience in project management, including planning, resourcing, status reporting, and issues management.
- Masters’ degree or equivalent experience in Economics, Econometrics, mathematics, statistics equivalent. PhD degree is preferred.
- Competitive salary & social benefits (e.g. private healthcare care, Benefit System, life insurance)
- Work in a friendly and diversified environment, appreciating differences in style and perspective and using them to add value to decisions leading to organizational success
- A great environment for learning new technology and tools, online and instructor led training opportunities
- Working in a friendly, dynamic and multinational environment
- Opportunity to have an influence on the way you perform your tasks - our teams are constantly looking for new and better ways and we encourage all improvement ideas
- A chance to make a difference with various affinity networks and charity initiatives