Model Analyst Validator Analyst - Assistant Vice President

Citi • NY

114d • $109,120 - $163,680

About The Position

Model Risk Management (“MRM”) provides oversight for the MRM Framework, which consists of the policy, procedures, and processes. This is a model validation role in the Market Valuation Models group within MRM. The validator will support model validation activities for pricing models in market valuation area.

Requirements

• Minimum of a Master's degree in a quantitative field (statistics, mathematics, physics, or financial engineering), a PhD degree in such fields is preferred.
• Demonstrated programming skills in languages such as Python, R, C++, SQL, etc.
• Solid understanding of mathematical finance.
• 2+ years work experience in model development/validation for candidates with Master’s degrees, experience in interest rate modeling is a plus.
• Good communication skills to communicate technical information verbally and in writing to both technical and non-technical audiences.
• Ability to work independently and collaborate with colleagues.
• Demonstrated project management and organizational skills and capability to handle multiple projects at one time.

Nice To Haves

• Curiosity, diligence, and a healthy skepticism about received wisdom are desirable.

Responsibilities

• Manage the end-to-end model review and validation workflows for new and existing models, under the supervision of the validation lead.
• Evaluate the conceptual and technical soundness of diverse mathematical models (interest rate modeling, mortgage prepayment/default models, and derivative pricing models) used in risk management across firm and authorize their use based on evaluation results.
• Provide effective challenge on the conceptual and technical soundness of the models design, theory, assumptions, and framework through various testing.
• Perform Outcomes Analysis, including backtesting, model benchmarking, stress testing, and sensitivity analysis on various assumptions and under different scenarios.
• Interact with stakeholders such as model developers, model sponsors, model users, and IT implementation for model risk management related activities.
• Assist the validation lead on quarterly and annual model performance review/revalidation, model inventory reconciliation, etc.
• Closely assess and monitor model limitations and compensating controls, including analysis of performance threshold breaches, control breaks, documentation and escalation to stakeholders.
• Collaborate with members of the global team to ensure that consistent and standardized best practices are applied in the areas of Model Validation and documentation.

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: Entry Level
• Education Level: Master's degree
• Number of Employees: 5,001-10,000 employees