Model/Analysis/Validation Officer

Citi • Tampa, FL

20h • Hybrid

About The Position

Citibank, N.A. seeks a Model/Analysis/Validation Officer for its Tampa, Florida location. Duties: Build market risk models for the purpose of regulatory capital calculation and stressing testing in order to ensure compliance with global regulatory frameworks while providing critical insights into the firm's exposure to market fluctuations. Conduct model changes and address model limitations to improve the model performance in response of regulatory requirement or Front office request. Develop and implement market risk model methodologies, algorithms, and diagnostic tools, integrating quantitative risk measuring work (including backtesting, sensitivity analysis, assumption analysis, data quality, model reliability, stability, and stress testing) to ensure model robustness, performance, and to assess and monitor model limitations. Work with market risk management systems, data flow, data definition and data requirements for various trading products, and conduct multiple analyses to meet risk managers and business needs. Collaborate with various working groups, senior model developers, risk managers, business clients, model validators, Risk IT, internal and external auditors, and regulators to assist with Model Risk Management and fulfill internal risk management requirements. Conduct on-going model performance analysis to discover, understand and quantify model limitations, providing comprehensive interpretations, explanations, and conclusions for resolving model issues. Work within Windows and Linux as programming environment and use Python, R, and SQL. Develop, maintain and enhance technical documentation including project plans, model description, mathematical derivations, data analysis, process and quality controls. 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 Financial Mathematics, Mathematics, Statistics, or related field and 4 years of experience as a Model/Analysis/Validation Officer, Model/Analysis/Validation Senior Analyst, Model/Analysis/Validation Intermediate Analyst or related position developing tools for measuring financial models to ensure the reliability, accuracy, and stability of quantitative models used in risk management.
• Alternatively, a Bachelor’s degree in the stated fields and 6 years of progressively responsible, post-baccalaureate experience in the stated positions.
• Supporting market risk analytics projects in FRTB, CCAR, and ICAAP
• Developing market risk models for quantifying market risk exposure for trading books and for calculating regulatory capital
• Implementing new models, resolve production issues and enhance existing implementation
• Calibrating model parameters, performing variance analysis
• Perform ongoing analysis of models, including backtesting and profit attribution analysis (PAA)
• Engaging market risk managers
• Developing and maintaining technical documentation
• Utilizing quantitative methodologies including linear and non-linear regression, Monte Carlo Simulation, Numerical analysis method, Scenario Analysis and stress testing frameworks.

Responsibilities

• Build market risk models for the purpose of regulatory capital calculation and stressing testing in order to ensure compliance with global regulatory frameworks while providing critical insights into the firm's exposure to market fluctuations.
• Conduct model changes and address model limitations to improve the model performance in response of regulatory requirement or Front office request.
• Develop and implement market risk model methodologies, algorithms, and diagnostic tools, integrating quantitative risk measuring work (including backtesting, sensitivity analysis, assumption analysis, data quality, model reliability, stability, and stress testing) to ensure model robustness, performance, and to assess and monitor model limitations.
• Work with market risk management systems, data flow, data definition and data requirements for various trading products, and conduct multiple analyses to meet risk managers and business needs.
• Collaborate with various working groups, senior model developers, risk managers, business clients, model validators, Risk IT, internal and external auditors, and regulators to assist with Model Risk Management and fulfill internal risk management requirements.
• Conduct on-going model performance analysis to discover, understand and quantify model limitations, providing comprehensive interpretations, explanations, and conclusions for resolving model issues.
• Work within Windows and Linux as programming environment and use Python, R, and SQL.
• Develop, maintain and enhance technical documentation including project plans, model description, mathematical derivations, data analysis, process and quality controls.

Benefits

• medical, dental & vision coverage
• 401(k)
• life, accident, and disability insurance
• wellness programs
• paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Number of Employees: 5,001-10,000 employees