Model/Analysis/Validation Senior Analyst

Citi • Wilmington, DE

10h • $114,600 - $117,500 • Hybrid

About The Position

Citibank, N.A. is hiring a Senior Model/Analysis/Validation Analyst in Wilmington, Delaware. The role analyzes the performance of highly quantitative CCAR/DFAST econometric stress-loss forecasting models and supports quarterly and annual CECL model performance reporting for countries and regions. It compares Champion, Challenger, and Benchmark model suites across short-, medium-, and long-term forecast horizons to support regulatory submissions and inform future model usage. The analyst uses loss forecast modeling to diagnose forecasting results and improve model monitoring, conducts quarterly back-testing analyses under Citibank Model Testing Guidance using portfolio forecasts and macroeconomic scenario data, and documents model development, model changes, monitoring, and forecasting analyses. The role also supports controls for regulatory submissions and compliance with U.S. banking modeling laws, regulations, and Citi’s Internal Model Management Policy. Using SAS and statistical methods, the analyst performs diagnostics and deep dives and presents analyses of regulatory model performance variations to senior stakeholders. A telecommuting or hybrid schedule may be permitted within a commutable distance of the Wilmington worksite, subject to Citi policies and protocols.

Requirements

• Master’s degree or foreign equivalent in Quantitative Finance & Risk Management, Finance, Statistics, Mathematics, Economics, or a related quantitative field, plus 2 years of experience in a specified or related position involving model development and forecasting for the financial services industry; alternatively, a bachelor’s degree in the specified fields plus 5 years of progressively responsible, post-baccalaureate experience in such positions.
• Experience applying programming languages to build automated code, calculate validation metrics, extract datasets and databases, and perform model diagnostics.
• Experience with statistical model development to monitor quantitative regulatory models under baseline and stressed macroeconomic scenarios.
• Knowledge of statistics concepts, including hypothesis analysis, summary metrics, and mean/variance, for data analysis in loss forecast modeling.
• Experience conducting risk management, credit risk, risk assessment, credit rating, loss forecasting, and modeling using mathematical and statistical principles.
• Experience with a Loss Forecast Modeling Framework.
• Knowledge of financial economics, macroeconomics, econometrics, and advanced mathematics and statistics to quantify model changes and build alternate models.
• Experience in quantitative risk and model management.
• Experience with model regulatory compliance.

Responsibilities

• Analyze the performance of CCAR/DFAST econometric stress-loss forecasting models.
• Support quarterly and annual CECL model performance reporting for countries and regions.
• Compare Champion, Challenger, and Benchmark model performance across short-, medium-, and long-term forecast horizons for regulatory submissions and future model-use planning.
• Use loss forecast modeling to diagnose forecasting results and enhance model monitoring.
• Monitor model performance quarterly by analyzing and summarizing back-testing results according to Citibank Model Testing Guidance, using portfolio forecast and macroeconomic scenario forecast data.
• Document model development, model changes, model monitoring, and forecasting analysis activities.
• Work on controls for regulatory submission activities and approvals to support compliance with U.S. banking modeling laws, banking regulations, and Citi’s Internal Model Management Policy.
• Monitor regulatory loss forecast model results using statistical concepts, including Survival Analysis, Logistic Regression, Fractional Logistic Regression, Linear Regression, Hypothesis Analysis, and Mean/Variance.
• Use SAS to build code, run model diagnostics, conduct deep dives, and prepare analyses of regulatory model performance variations for senior stakeholders.

Benefits

• Medical, dental, and vision coverage
• 401(k)
• Life, accident, and disability insurance
• Wellness programs
• Paid time off, including vacation and sick leave
• Paid holidays
• Eligible employees may receive discretionary and formulaic incentive and retention awards

What This Job Offers

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