AVP, Model/Analyst/Validator Sr Analyst - C12 (Hybrid)

Model Risk Management (“MRM”) provides oversight for the MRM Framework, which consists of the policy, procedures, and processes. This is a model validation role in the Market Valuation Models group within MRM. The validator will support model validation activities for pricing models in market valuation area. Key Responsibilities include the following.

Responsibilities:

• Manage the end-to-end model review and validation workflows for new and existing models, under the supervision of the validation lead. Evaluate the conceptual and technical soundness of diverse mathematical models (interest rate modeling, mortgage prepayment/default models, and derivative pricing models) used in risk management across firm and authorize their use based on evaluation results.  
• Provide effective challenge on the conceptual and technical soundness of the models design, theory, assumptions, and framework through various testing. Perform Outcomes Analysis, including backtesting, model benchmarking, stress testing, and sensitivity analysis on various assumptions and under different scenarios. 
• Interact with stakeholders such as model developers, model sponsors, model users, and IT implementation for model risk management related activities
• Assist the validation lead on quarterly and annual model performance review/revalidation, model inventory reconciliation, etc. Closely assess and monitor model limitations and compensating controls, including analysis of performance threshold breaches, control breaks, documentation and escalation to stakeholders.
• Collaborate with members of the global team to ensure that consistent and standardized best practices are applied in the areas of Model Validation and documentation.

 Qualifications:

• Minimum of a Master's degree in a quantitative field (statistics, mathematics, physics, or financial engineering), a PhD degree in such fields is preferred
• Demonstrated programming skills in languages such as Python, R, C++, SQL, etc.
• Solid understanding of mathematical finance.
• 2+ years work experience in model development/validation for candidates with Master’s degrees, experience in interest rate modeling is a plus.
• Good communication skills to communicate technical information verbally and in writing to both technical and non-technical audiences.
• Ability to work independently and collaborate with colleagues. Team work and commitment is a must
• Curiosity, diligence, and a healthy skepticism about received wisdom are desirable.
• Demonstrated project management and organizational skills and capability to handle multiple projects at one time.

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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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