AVP Qualitative Models Validation Senior Analyst - Hybrid

Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.

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This position is with the Qualitative Model Validation team and is part of the Model Risk Management (MRM) group, which resides in the Risk organization. The Qualitative Model Validation team is responsible for reviewing and assessing qualitative models as part of Citi’s Model Risk Management framework. The main objectives are to ensure that qualitative models are used appropriately by the business and that model users are aware of the models’ limitations and weaknesses that should be mitigated by compensating controls. A qualitative model is a model whose output is largely or entirely dependent upon key assumptions which are primarily qualitative in nature (but may have quantitative components, e.g., models that are partially based on expert judgment or other qualitative evidence.) Qualitative models are held to the same high standard as all models at Citi, and are guided by the same principles outlined in supervisory guidance letter SR 11-7.

Key Activities include:

Performing independent validation of qualitative models across the firm, in line with the Citi Model Risk Management Policy and Procedures. This includes:

• Critically reviewing the appropriateness of a Qualitative Model versus alternative quantitative approaches with respect to the modeling objective and the available model development data.
• Producing high value models validation reports, including highlighting risks and limitations of the model.
• Evaluating the developmental testing approach and results for individual models in accordance with MRM guidance.
• Supporting the process of designing, developing, delivering and maintaining best-in-class qualitative model validation process standards, guidance, practices, templates, and other documentation.
• Contributing to regulatory and internal audit related responses
• Collaborating with other teams within Risk and the Business to facilitate compliance with policies, procedures, and guidance. 
• Preparing reports and other meeting materials for MRM senior management.
• Having an enthusiastic attitude and adopting important changes early;
• Demonstrating curiosity and actively apply learning from failures.
• Challenging self and others to seek out and communicate alternative views;
• Be welcoming of diverse ideas to improve outcomes.
• Proactively seeking to understand and act in alignment with organizational decisions; help others prioritize team and enterprise success over their own personal agenda

Qualifications:

• 5-8 years of experience
• Minimum Bachelor’ degree in Finance, Economics, or other quantitative discipline (statistics, quantitative finance, econometrics, etc.). Masters’ degree or above is preferred.
• Experience in Quantitative Finance, Risk management, Analytics, Model Development or Model Validation is preferred.
• Demonstrate excellent partnership and teamwork skills.
• Ability to clearly and concisely formulate findings in a written form and good verbal communication skills.
• Good analytic, creative thinking, and problem solving abilities
• Ability to multi-task, work well under pressure, and deliver results under tight deadlines.
• Knowledge of financial markets and products.
• Model risk management experience is a plus.
• Experienced user of Microsoft Office Suite, especially Excel, PowerPoint and Word. Knowledge of SAS or R language a plus. Programming knowledge, (e.g.python) a plus.
• Solid knowledge of time series analysis, statistics and econometrics preferred.

Education: 

Bachelor's/University degree or equivalent experience

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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.

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