Model Validation 2nd LOD Sr. Lead Analyst

Citi • New York, NY

7d • $207,600 - $247,900 • Hybrid

About The Position

Citibank, N.A. is hiring a Model Validation 2nd LOD Lead Analyst in New York, New York. The role conducts independent model validation of credit derivatives pricing and risk models. It critically assesses model documentation, assumptions, mathematical frameworks, code implementation, numerical accuracy, performance, conceptual soundness, limitations, and regulatory compliance. The analyst develops independent benchmarks and Python-based tools, tests model robustness through stress testing, back-testing, and scenario analysis, monitors model performance, and communicates model risk to stakeholders. The role also produces LaTeX-based validation reports describing findings, risks, and mitigation strategies in accordance with internal model risk policies, procedures, and regulatory guidelines. A telecommuting or hybrid schedule may be permitted within commuting distance of the worksite, subject to Citi policies and protocols.

Requirements

• Master’s degree or foreign equivalent in Mathematical Finance, Financial Engineering, Applied Mathematics, Statistics, Computational Finance, Physics, or a related quantitative field.
• Three years of experience as a Capital Markets Researcher, Model/Analysis/Validation Officer, Quantitative Analyst, Credit Risk Modeler or Researcher, Financial Engineer, Quantitative Developer, Derivatives Trader, Data Scientist, PhD Researcher, or in a related position involving model validation, quantitative analysis, and model development.
• Experience in quantitative model development, model validation, and financial model assessment.
• Experience developing and using analytical tools to support model validation and financial analysis.
• Experience using Python or R for data analysis, model validation, and work-efficiency improvements.
• Understanding of fixed income instruments and credit-related products, including valuation concepts and risk characteristics.
• Experience applying statistical and numerical techniques for model validation or financial analysis.
• Experience documenting analytical processes, model validation results, and data assessments.
• Experience preparing validation reports and interacting with key stakeholders.

Responsibilities

• Conduct rigorous validation of credit derivatives pricing and risk models.
• Scrutinize Model Development Documents and provide evidence-based challenges to model assumptions, conceptual soundness, performance, and limitations.
• Review model assumptions, mathematical frameworks, and code implementation for theoretical soundness, numerical accuracy, and regulatory compliance.
• Develop benchmarking models against front-office quantitative models, or use alternative approaches to cross-check outputs against primary models.
• Perform stress testing, back-testing, and scenario analysis to evaluate model robustness under varying market conditions.
• Validate numerical implementation and compare outputs against independent benchmarks.
• Monitor model performance and communicate model risk profiles to relevant stakeholders.
• Build Python-based tools to automate independent testing and benchmarking and improve validation transparency.
• Author LaTeX-based validation reports detailing findings, risks, and mitigation strategies for model developers and other stakeholders.
• Comply with internal model risk management policies, procedures, and regulatory guidelines.

Benefits

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

What This Job Offers

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