Model Validation 2nd LOD Lead Analyst

Citi • Tampa, FL

1d • Hybrid

About The Position

Citibank, N.A. seeks a Model Validation 2nd LOD Lead Analyst for its Tampa, Florida location. This role involves validating credit risk models using statistical and mathematical tools, economic and finance theories, and assessing model performance and data relevancy. The analyst will design and execute quantitative and statistical testing, perform large-scale analysis using programming languages, and manage model risk throughout its lifecycle. Key responsibilities include ongoing performance evaluations, annual reviews, monitoring, governance, stakeholder interaction, and providing effective challenge to model assumptions and performance. The role also involves assessing and quantifying model risk, reviewing overlays and change proposals, and creating technical documentation reports that meet regulatory guidelines. The analyst will also be involved in regulatory examinations like CCAR and DFA Stress testing, presenting findings to senior management and supervisory authorities, and representing the bank in interactions with regulatory agencies. Additionally, the position contributes to strategic initiatives within the model risk organization, identifies modeling opportunities, and fosters collaboration. A significant part of the role includes developing and validating models applied in the climate risk area, assessing model sensitivity to macroeconomic and climate risk drivers, evaluating impacts to bank reserves and planning from climate shocks, and ensuring compliance with regulatory requirements for climate exercises from various local regulatory agencies. The analyst will also provide guidance to junior validators, lead projects, and perform supervisory and peer reviews. A telecommuting/hybrid work schedule may be permitted.

Requirements

• Requires a Master’s degree, or foreign equivalent, in Mathematics, Statistics, Engineering (any), or related field and 3 years of experience as a Model/Analysis/Validation Officer, Model/Analysis/Validation Senior Analyst, Research Assistant, or related position involving the credit risk model development, testing, and validation in a global financial services institution.
• Alternatively, employer will accept a Bachelor’s degree in the listed fields and 5 years of progressively responsible, post baccalaureate experience in the listed positions.
• Full span of experience must include: Data Analysis, identifying inconsistencies in data, and defining business issues; Assessment of model development process including data processing, conceptual soundness, and mathematical formulation; Statistical tests of model framework, assumptions, and performance; Financial Risk management; Economic research into macro-economic risk drivers, evaluation of model performance in various macro-economic scenarios, and evaluation of macro-economic impacts to inform capital planning; Proficient in statistical tests including Diagnostic Test, Sensitivity, Stress Testing, Backtesting, and Impact Analysis; Proficient in statistical software including R and large-scale analysis with SQL; Simulations and performance tests with Python, Java, Linux; Regulatory requirements including Basel, CCAR, ICAAP, IFRS9, and CECL; Technical writing and presenting, including regulatory initiatives such as Climate Risk examinations; Project management.

Responsibilities

• Validate credit risk models using statistical and mathematical tools and economic and finance theories.
• Test model assumptions and assess model performance.
• Assess adequacy and relevancy related to modeling data.
• Design and execute quantitative and statistical testing on model framework and performance.
• Perform data analysis and quantitative/statistical tests using statistical tools, perform large-scale analysis with programming languages including Python, Linux, SQL.
• Manage model risk across the model life cycle including ongoing performance evaluations, annual model reviews, and monitoring and governance plans.
• Oversee the portfolios.
• Manage stakeholder interaction with model developers and business owners during the model life cycle.
• Provide effective challenge to model assumptions, mathematical formulation, model performances, and implementation.
• Assess and quantify risk associated with the model due to model limitations, and inform stakeholders of the risk profile and advise on development of compensating controls.
• Review and challenge overlays and model change proposals, assess the risk control actions associated with model limitations, business initiatives, operation plans, and regulatory feedback when necessary.
• Conduct analysis and create technical documentation reports for validation purposes sufficient to meet regulatory guidelines and exceed industry standards.
• Comply with regulatory examinations, including CCAR and DFA Stress testing exercises by the FRB and OCC.
• Present model validation findings to senior management and supervisory authorities.
• Document model validation outcomes and findings.
• Communicate results to diverse audiences.
• Represent the bank in interactions with regulatory agencies, as required.
• Contribute to strategic, cross-functional initiatives within the model risk organization.
• Identifies modeling opportunities that yield measurable business results.
• Engages key stakeholders early and often and actively looks for opportunities to improve collaboration in achieving common goals.
• Develop and validate models applied in climate risk area.
• Perform and assess model sensitivity to the macroeconomic and climate risk drivers.
• Evaluate the impacts to banks reserves and planning from the climate risks of physical and transitional shocks.
• Evaluate and assess data relevance and methodology soundness of the climate risk models, and assess its compliance with regulatory requirements of different climate exercises, mandated by various local regulatory agencies, such as HKMA (Hong Kong), OSFI (Canada), MAS (Singapore), and OJK (Indonesia).
• Assist preparing the packages to fulfil regulatory climate exercise examination.
• Provide guidance and instructions to junior validations for policies and procedures.
• Lead projects when necessary, and ensure accuracy of validations performed by validators.
• Perform supervisory and peer reviews.

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: Senior