Model Validation 2nd LOD Sr. Lead Analyst

Citi • New York, NY

11d • $211,413 - $247,900 • Hybrid

About The Position

Citibank, N.A. seeks a Model Validation 2nd LOD Sr. Lead Analyst in New York, New York. The role conducts independent validations of credit risk models across wholesale banking portfolios and assesses model assumptions, methodologies, intended purposes, regulatory alignment, and overall model risk. The analyst reviews validation documentation and outcomes, develops remediation plans for identified limitations, evaluates evidence for closing mitigation actions, and supports internal and external federal examinations. A telecommuting or hybrid schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

The position requires a bachelor’s degree or foreign equivalent in Statistics, Mathematics, Finance, Economics, or a related field and ten years of relevant experience. Alternatively, Citi will accept a master’s degree or foreign equivalent with eight years of experience, or a Ph.D. with four years of experience. Pre- or post-Ph.D. experience is acceptable. The role is 40 hours per week. The stated wage range is $211,413 to $247,900 per year. Eligible employees may also receive discretionary and formulaic incentive and retention awards.

Requirements

• Bachelor’s degree or foreign equivalent in Statistics, Mathematics, Finance, Economics, or a related field, with ten years of experience in the offered role or a related quantitative occupation; alternatively, a master’s degree or foreign equivalent with eight years of experience, or a Ph.D. with four years of experience. Pre- or post-Ph.D. experience is accepted.
• Experience conducting credit risk model validation for Wholesale Portfolios Basel Parameter models, CCAR, CECL/IFRS9, and ICAAP models.
• Experience applying CCAR, Basel rules, EBA stress testing, ICAAP, IFRS 9, and CECL regulatory requirements in model validation and governance assignments.
• Experience performing statistical modeling techniques and quantitative analysis within risk management principles.
• Experience addressing reviews and challenges concerning the effectiveness of model validations from internal auditing and external regulatory examinations.
• Experience using advanced programming languages, statistical tools, and software, including SAS, R, Python, MATLAB, and C++.
• Experience programming numerical and closed-form-based models, analytical calculations, and simulations, and implementing quantitative tests to verify model behavior.
• Ability to communicate complex validation findings effectively in writing and verbally.

Responsibilities

• Conduct validations of credit risk models used across wholesale banking portfolios, including commercial real estate CCAR, AFS/HTM direct obligations stress testing, RWA estimation, Wholesale Basel parameter calculations, EBA stress testing, ICAAP, and climate stress testing.
• Assess and test modeling assumptions to ensure alignment with model methodology theory and design objectives, and suitability for intended purpose and use.
• Conduct validation testing and provide guidance aligned with regulatory requirements and Citi’s internal Model Risk Management policy.
• Assess overall model risk and determine the Model Risk Rating.
• Review validation documentation, including Model Validation Reports, Ongoing Monitoring Conclusion Documents, and Annual Model Reviews.
• Review and assess validation outcomes in accordance with Model Risk Management Policies and Procedures.
• Propose remediation plans for model limitations and document remediation timelines in coordination with stakeholders.
• Review evidence and accept or challenge proposals to close model risk mitigation action items.
• Prepare for and address internal and external federal examinations on model validations.

Benefits

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

What This Job Offers

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