![](https://dn9tckvz2rpxv.cloudfront.net/enableamerica.jobs/img/logo.jpg)
Job Information
Citigroup Canada Macroeconomic Forecasting Lead, VP in Mississauga, Ontario
The Canada Macroeconomic Forecasting Lead is a strategic professional who closely follows latest trends in own field and adapts them for application within own job and the business. The Canada Macroeconomic Forecasting Lead is an experienced model developer with solid technical, quantitative, and analytical skills, as well as a strong understanding of economic concepts. Developed communication skills required in order to negotiate collaborate with other team members.
Responsibilities:
Developing hypothetical and BAU scenario forecasts for the following constructs:
Canada sovereign interest rates, Canada swap rates, and CORRA (Canadian Overnight Repo Rate Average).
Implied volatilities for Canada interest rates
CAD/USD exchange rate
Canada S&P/TSX Index and Canada MSCI Index
Canada unemployment rate, Canada GDP, and Canada CPI
Canada HPI
Canada imports, exports, and reserves
Canada money supply
Supporting scenario projections used as part of the Canada regulatory and stress test scenarios
Lead model development efforts to build best-in-class models for the constructs outlined above.
Produce macroeconomic scenario forecasts for Canada 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.
Conduct rigorous analytical research to identify causal drivers and to support methodological approaches
Communicate results to diverse audiences.
Identify modeling opportunities that yield measurable business results.
Qualifications:
PhD and 2+ years of post-PhD work experience, or Master’s degree and 4+ years of work experience
Experience generating forecasts for Canada macroeconomic or financial variables, particularly under hypothetical stress scenarios as part of regulator exercises
Strong understanding of quantitative model development approaches
Demonstrated expertise in implied volatilities for Canada interest rates
Practical experience utilizing XGBoost as part of the model development process
Practical experience writing programs to build and test predictive models
Proficient in Python
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, Ph.D. strongly preferred
Job Family Group:
Risk Management
Job Family:
Risk Analytics, Modeling, and Validation
Time Type:
Full time
Citi is an equal opportunity and affirmative action employer.
Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.
Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi (https://www.citigroup.com/citi/accessibility/application-accessibility.htm) .
View the "EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) " poster. View the EEO is the Law Supplement (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/OFCCP_EEO_Supplement_Final_JRF_QA_508c.pdf) .
View the EEO Policy Statement (http://citi.com/citi/diversity/assets/pdf/eeo_aa_policy.pdf) .
View the Pay Transparency Posting (https://www.dol.gov/sites/dolgov/files/ofccp/pdf/pay-transp_%20English_formattedESQA508c.pdf)
Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.
Citigroup
-
- Citigroup Jobs