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 for its Long Island City, NY location. This role involves conducting validations of credit risk models used across wholesale banking portfolios. The position requires assessing and testing modeling assumptions to ensure alignment with theory, design objectives, and fitness for purpose. It also involves conducting validation testing aligned with regulatory requirements and internal policies, assessing model risk, and preparing documentation. The analyst will propose remediation plans for identified model limitations and coordinate with stakeholders. Additionally, the role includes preparing for and addressing internal and external federal exams on model validations. A telecommuting/hybrid work schedule may be permitted.

Requirements

• Bachelor’s degree, or foreign equivalent, in Statistics, Mathematics, Finance, Economics, or a related field, and ten (10) years of experience in the job offered or in a related quantitative occupation.
• Ten (10) years of experience must include: Conducting credit risk model validation within Wholesale Portfolios Basel Parameter models, CCAR, CECL/IFRS9, and Internal Capital Adequacy Assessment Process (ICAAP) models.
• Applying the regulatory requirements outlined in CCAR, Basel rules, EBA stress testing, ICAAP, IFRS 9, and CECL when performing model validation and governance assignments.
• Performing statistical modeling techniques and quantitative analysis within risk management principles.
• Addressing reviews and challenges on the effectiveness of model validations from internal auditing and external regulatory exams.
• Utilizing advanced programming languages, statistical tools, and software, including SAS, R, Python, MATLAB, and C++.
• Programming numerical, closed-form-based models, analytical calculations, and simulations, and implementing quantitative tests to verify model behavior.
• Communicating complex validation findings effectively through written and verbal communication.
• In the alternative, Employer will accept a Master’s degree, or foreign equivalent, and eight (8) years of experience.
• Employer will accept a PhD and four (4) years of experience.
• Employer will accept pre- or post- PhD degree experience.

Nice To Haves

• Wholesale Lending Operations Management.

Responsibilities

• Conduct validations of credit risk models used across wholesale banking portfolios, including models for 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 that inherent model assumptions are aligned with model methodology theory and their design objectives and are fit for their intended purpose and use.
• Conduct validation testing and guidance that align with regulatory requirements outlined in Basel/CCAR/CECL/IFRS9/ICAAP/EBA and other regulations including Citi internal Model Risk Management policy.
• Assess the overall model risk and determine the Model Risk Rating.
• Conduct thorough reviews of validation documentation, including Model Validation Reports, Ongoing Monitoring Conclusion Document, and Annual Model Review.
• Review and assess the validation outcomes in accordance with Model Risk Management Policies and Procedures.
• Propose remediation plans for model limitations identified during the validation process and document remediation timelines in coordination with stakeholders.
• Review and assess evidence and accept or challenge proposals to close action items for model risk mitigation.
• Prepare and address internal and external federal exams on model validations.

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