Model Validation 2nd LOD Sr. Lead Analyst

Citi•New York, NY

3d•$207,600 - $247,900•Hybrid

About The Position

Citibank, N.A. seeks a Model Validation 2nd LOD Sr. Lead Analyst for its Long Island City, New York location. This role involves conducting rigorous model validation of credit derivatives pricing/risk models. The analyst will scrutinize mathematical formulations, challenge model assumptions, conceptual soundness, performance, and limitations. A key part of the role is to review model assumptions, mathematical frameworks, and code implementation for theoretical soundness, numerical accuracy, and regulatory compliance. The analyst will also develop benchmarking models against front-office quant models, ensuring alignment with product structure and market behavior, or use alternative approaches to cross-check outputs. Performing stress-testing, back-testing, and scenario analysis to evaluate model robustness under varying market conditions is also required. The role includes validating numerical implementation, comparing outputs against independent benchmarks, regularly monitoring model performance, and communicating the model risk profile to stakeholders. Building Python-based tools to automate independent testing, benchmarking, and enhance validation transparency is expected. The analyst will author LaTeX-based validation reports detailing findings, risks, and mitigation strategies for model developers and other stakeholders, in compliance with internal model risk management policies, procedures, and regulatory guidelines. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements

Master’s degree, or foreign equivalent, in Mathematical Finance, Financial Engineering, Applied Mathematics, Statistics, Computational Finance, Physics or related quantitative field
3 years of experience as a Capital Markets Researcher, Model/Analysis/Validation Officer, Quantitative Analyst, Credit Risk Modeler or Researcher, Financial Engineer, Quantitative Developer, Derivatives Trader, Data Scientist, PhD Researcher, or related position involving model validation, quantitative analysis and model development.
Quantitative model development, model validation, and financial model assessment
Developing and using analytical tools to support model validation and financial analysis
Python or R for data analysis, model validation, and work efficiency improvements
Understanding of fixed income instruments and credit-related products including valuation concepts and risk characteristics
Applying statistical and numerical techniques for model validation or financial analysis
Documenting analytical processes, model validation results, and data assessments
Preparing validation reports and interacting with key stakeholders

Responsibilities

Conduct rigorous model validation of credit derivatives pricing/risk models.
Scrutinize mathematical formulations in Model Development Documents and provide evidence-based challenges to model assumptions, conceptual soundness, model performance, and/or limitations.
Critically review model assumptions, mathematical frameworks, and code implementation for theoretical soundness, numerical accuracy, and regulatory compliance.
Develop benchmarking models against front-office quant models, ensuring alignment with product structure and market behavior or use alternative approaches to cross-check outputs against primary models.
Perform stress-testing, back-testing, and scenario analysis to evaluate model robustness under varying market conditions.
Validate numerical implementation and compare outputs against independent benchmarks.
Regularly monitor model performance and communicate the model risk profile to relevant stakeholders.
Build Python-based tools to automate independent testing, benchmarking, and enhance validation transparency.
Author LaTeX-based validation reports detailing findings, risks, and mitigation strategies for model developer and other stakeholders in compliance with internal model risk management policies, procedures, and regulatory guidelines.