Model/Analysis/Validation Officer

Citi • Tampa, FL

1d • $135,000 - $180,218 • Hybrid

About The Position

Citibank N.A. seeks a Model/Anlys/Valid Officer for its Tampa, FL location. Duties: Develop, enhance, and validate the methods of measuring and analyzing risk. Develop, validate and strategize uses of scoring models and scoring model related policies. Manage model risk across the model life cycle including model validation, on-going performance evaluation and annual model reviews. Conduct analysis and package it into detailed technical document reports for validation purposes sufficient to meet regulatory guidelines and exceed industry standards. Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls. Present model validation findings to senior management and supervisory authorities. Provide effective challenge to model assumptions, mathematical formulation, and implementation. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols.

Requirements

• Master’s degree, or foreign equivalent, in Mathematics, Physics, Statistics, Engineering, or a related field, and two (2) years of experience in the job offered or a related quantitative occupation developing market risk models in the financial services industry.
• Two (2) years of experience must include: Developing market risk models to quantify the market risk exposures of trading books and calculating regulatory capital; Implementing risk management frameworks (VAR, stress testing) and regulatory capital models (Basel III/IV, FRTB) using statistical and econometric techniques; Program language Python, R, Structured Query Language (SQL), and Windows/Linux language commands; Calibrating model parameters and performing variance analysis to explain the changes in model output due to parameter updates; Performing ongoing analysis of models, including back testing and profit attribution analysis (PAA); Skill and experience on processing large-scale data and simulations using parallel computing in windows or Linux server environment.
• Employer will accept pre- or post- Master’s degree experience.

Responsibilities

• Develop, enhance, and validate the methods of measuring and analyzing risk.
• Develop, validate and strategize uses of scoring models and scoring model related policies.
• Manage model risk across the model life cycle including model validation, on-going performance evaluation and annual model reviews.
• Conduct analysis and package it into detailed technical document reports for validation purposes sufficient to meet regulatory guidelines and exceed industry standards.
• Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
• Present model validation findings to senior management and supervisory authorities.
• Provide effective challenge to model assumptions, mathematical formulation, and implementation.

Benefits

• In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards.
• Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs.
• Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.
• For additional information regarding Citi employee benefits, please visit citibenefits.com.
• Available offerings may vary by jurisdiction, job level, and date of hire.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level