Model Validation 2nd LOD Senior Analyst

Citi • Tampa, FL

29d • $118,100 - $125,900 • Hybrid

About The Position

Citibank, N.A. seeks a Model Validation 2nd LOD Sr. Analyst for its Tampa, FL location. DUTIES: Review the underlying theory, assumptions, limitations, implementation, and testing of XVA models used by Citi. Validation covers technical and functional aspects including model assumptions, conceptual soundness, mathematical formulation, model calibration, and model performance as well as functional assessment of using the model for regulatory and business applications. Manage stakeholder interaction with model developers and business owners during model lifecycle including discussions concerning model limitation severity and compensating controls. Review models and identify shortcoming development documents, perform validation tests, discuss findings with senior stakeholders, write validation reports, and manage model risk on an ongoing basis. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols. REQUIREMENTS: Bachelor’s degree, or foreign equivalent, in Mathematics, Statistics, Finance, Computer Science, or related quantitative field, and two (2) years of experience in the job offered or in a related quantitative occupation performing risk analysis and modeling. Two (2) years of experience must include: Performing quantitative review of mathematical and statistical model documentation and testing results utilizing knowledge of calculus, Monte-Carlo simulation, linear algebra, probability theory and stochastic calculus, focusing on modeling approach, justification, mathematical and market assumptions, and calibration procedures; Implementing risk and pricing models using programming languages including C/C++, Python, R, and MATLAB; Designing tests using regulatory requirements, performing independent investigation and testing of models, and identifying material limitations; Delivering model validation reports to stakeholders including the business, market risk management, model governance teams, and regulatory agencies; Managing model risk across the complete modeling lifecycle by executing ongoing performance monitoring, annual model review, and revalidation; Working with risk measures, financial markets, financial institutions, and a broad range of financial products including credit default swaps, options, and swaps. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID # 26945205. EO Employer. Wage Range: $118,100.00 to $125,900.00

Requirements

• Bachelor’s degree, or foreign equivalent, in Mathematics, Statistics, Finance, Computer Science, or related quantitative field, and two (2) years of experience in the job offered or in a related quantitative occupation performing risk analysis and modeling.
• Performing quantitative review of mathematical and statistical model documentation and testing results utilizing knowledge of calculus, Monte-Carlo simulation, linear algebra, probability theory and stochastic calculus, focusing on modeling approach, justification, mathematical and market assumptions, and calibration procedures
• Implementing risk and pricing models using programming languages including C/C++, Python, R, and MATLAB
• Designing tests using regulatory requirements, performing independent investigation and testing of models, and identifying material limitations
• Delivering model validation reports to stakeholders including the business, market risk management, model governance teams, and regulatory agencies
• Managing model risk across the complete modeling lifecycle by executing ongoing performance monitoring, annual model review, and revalidation
• Working with risk measures, financial markets, financial institutions, and a broad range of financial products including credit default swaps, options, and swaps.

Responsibilities

• Review the underlying theory, assumptions, limitations, implementation, and testing of XVA models used by Citi.
• Manage stakeholder interaction with model developers and business owners during model lifecycle including discussions concerning model limitation severity and compensating controls.
• Review models and identify shortcoming development documents, perform validation tests, discuss findings with senior stakeholders, write validation reports, and manage model risk on an ongoing basis.

Benefits

• In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards.
• Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs.
• Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.
• For additional information regarding Citi employee benefits, please visit citibenefits.com.
• Available offerings may vary by jurisdiction, job level, and date of hire.

What This Job Offers

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