Model/Analysis/Validation Senior Analyst

Citibank, N.A. seeks a Model/Analysis/Validation Senior Analyst for its New York, NY location.

Duties: Perform model validation and model risk management of rates and municipal derivatives pricing models. Provide effective challenges in regard to mathematical formulation, model assumptions and limitations, calibration, implementation, numerical performance, and business uses. Assess and quantify model risk due to model limitations and inform model stakeholders of their risk profile and development of compensating controls. Develop independent benchmarking tools for the purpose of implementation verification as well as comparison to alternative modeling methodology. Write high-quality model validation documents in compliance with model risk management policy and procedures, internal audit requirements, and regulatory guidance. Provide subject matter expertise on model risk management to model stakeholders. Represent the firm in interactions with regulatory agencies, as required. Contribute to strategic, cross-functional initiatives within MRM as needed. 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 Quantitative Finance, Physics, Applied Mathematics, or a related field, and two (2) years of experience in the job offered, as a Quantitative Analyst, Financial Engineer or in a related occupation performing interest rates derivatives valuation and risk analysis within the financial industry. Two (2) years of experience must include: Financial Engineering in the field of interest rates derivatives products and valuation models including yield curve and term structure models; Developing/validating derivatives valuation analytics and models for flow and exotic interest rates products; Developing models using python in a financial engineer, or model validation role; Experience dealing with FX (foreign exchange) and Credit derivatives, and XVA (X-Value Adjustment, a collective term that covers the different types of valuation adjustments relating to derivative contracts); and Writing technical documents for the purpose of model development, model validation or client-facing activities. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/.  Please reference Job ID #25834639. EO Employer.

Wage Range:                $146,500.00 to $150,200.00

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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Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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