Model/Anlys/Valid Officer

Citibank, N.A. seeks a Model/Analysis/Valid Officer for its Irving, TX location.

Duties: Develop advanced financial quantitative models for wholesale credit losses, including for IFRS9, CECL, and CCAR. Explore different statistical approaches. Participate in the implementation of analytical tools by reporting functions. Write implementation code in programming languages including SAS, R and Python. Develop methodologies for testing model robustness, stability and performance. Perform ongoing analysis of models, including back-testing and sensitivity testing. Develop and maintain technical documentation for IFRS9/CECL/CCAR reserve models, loss likelihood and severity methodologies and applications, including project plans, model descriptions, mathematical derivations, data analysis, process and quality controls. Support model validation review. Participate in discussions with model validation, internal and external audits and regulatory reviews. Assist in preparation and delivery of training material, presentations and reports on credit risk analytics. Perform reliability analysis and quality control of modeling data and model results for IFRS9/ CECL reserve models. 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 Financial Engineering, Economics, Finance, or a related field, and three (3) years of experience in the job offered, or in a related occupation in the financial services industry. Employer will accept pre- or post- Master’s degree experience. Three (3) years of experience must include: Developing software in a complex, multi-user source control environment including Git or SVN; Utilizing CCAR/EBA/ICAAP stress testing, PD/LGD/EAD modeling, or CECL/IFRS9 calculation for loss calculation or stress testing wholesale credit portfolios; Performing quantitative review of statistical model documentation and testing results, focusing on modeling approach, justification, mathematical and market assumptions, and calibration procedures; and Implementing risk models and unit tests using programming languages including Python, R, C/C++, and scripts on Linux and Windows. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/.  Please reference Job ID #25824797. EO Employer.

Wage Range:                $143,111.50- $173,500.00

Job Family Group:        Risk Management

Job Family:                  Risk Analytics, Modeling, and Validation

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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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