Model Validation 2nd LOD Sr. Analyst

Citi • NY

93d • $138,496 - $150,200

About The Position

Citibank, N.A. seeks a Model Validation 2nd Line of Defense Senior Analyst for its Long Island City, New York location. The role involves validating credit risk models using statistical and mathematical tools and economic and finance theories. The analyst will assist with model risk management across the model life cycle including model validation, ongoing performance evaluation, and annual model reviews. Responsibilities include providing effective challenge to model assumptions, testing model assumptions, assessing model performance, and evaluating the impact of macroeconomic scenarios on the bank’s credit portfolio. The analyst will also design and execute quantitative and statistical testing on model framework and performance, document model validation outcomes, and coordinate stakeholder interaction with model developers and business owners during the model life-cycle. Additionally, the analyst will serve as a subject matter expert representing the bank in interactions with regulatory agencies and present model validation findings to senior management and supervisory authorities. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements

• Requires a Master’s degree, or foreign equivalent, in Mathematics, Finance, Statistics, or related quantitative field and 1 year of work or internship experience as a Model Developer, Model Validator, Risk Analyst, Financial Analyst, Quantitative Analyst or related position involving developing or validating statistical and quantitative models for financial risk management or quantitative research.
• Alternatively, employer will accept a Bachelor’s degree in the stated fields and 3 years of the specified experience.
• Full span of experience must include: Developing effective challenges to model development process; Validating mathematical and statistical models, including Derivatives Pricing, Monte Carlo Simulation, Ordinary Least Square Regression, Time Series Analysis, Logistic Regression, or Classification.
• Assessing adequacy and relevancy to modeling data, and assessing model performance under different specifications and scenarios, and testing sensitivity of credit risk models to macroeconomic risk drivers.
• Performing data analysis and executing quantitative and statistical tests using SAS/R, including Statistical Diagnostic Test, Sensitivity Analysis, Scenario Analysis, Stress Testing, Benchmarking, Backtesting, and Impact Analysis.
• Conducting portfolio loss simulations and tests on model convergence and performance using Python and C++; Programming numerical and closed-form pricing models using Python and VBA.

Responsibilities

• Validate credit risk models using statistical and mathematical tools and economic and finance theories.
• Assist with model risk management across the model life cycle including model validation, ongoing performance evaluation, and annual model reviews.
• Provide effective challenge to model assumptions, mathematical formulation, and implementation.
• Test model assumptions and assess model performance.
• Assess adequacy and relevancy related to modeling data.
• Assess and evaluate impact of macroeconomic scenarios on bank’s credit portfolio.
• Design and execute quantitative and statistical testing on model framework and performance.
• Perform data analysis and quantitative/statistical tests using statistical tools.
• Document model validation outcomes, monitor model performance, and execute independent challenges and assessments in accordance with Model Risk Management Policies and Procedures.
• Coordinate stakeholder interaction with model developers and business owners during the model life-cycle.
• Serve as subject matter expert representing the bank in interactions with regulatory agencies.
• Present model validation findings to senior management and supervisory authorities.
• Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
• Contribute to strategic, cross-functional initiatives within the model risk organization.

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