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Model/Anlys/Valid Officer VP

Job Req ID 21331321 Primary Location New York, New York Job Category Risk Management
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Model validation is part of Citi Model Risk Management (MRM). The position is looking for a strong candidate to join the team of validators specializing on Market Valuation Models. Validation work will involve reviewing model assumptions and model inputs, verifying the mathematical formulation, independently implementing the desk models when needed, developing benchmark models to conduct effective challenge. In addition, during the validation process, the model validator will uncover model limitations if there exist, will assess the severity levels of these limitations and will quantify the limitations. These limitations will then be shared with the stakeholders of model risk to determine proper compensating controls.

A successful candidate will support model validation activities for credit derivative pricing models. Validating models in other asset classes may also be expected when needed.

This position requires strong quantitative financial model development and validation skills with relevant industry experience in derivatives valuation models.


Job Responsibilities:

  • Provide effective challenge to model assumptions, mathematical formulation, and implementation.
  • Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
  • Manage model risk across the model lifecycle including initial and ongoing model validation, model change, ongoing performance assessment, and annual model reviews.
  • Manage stakeholder interactions with model developers and business sponsors during the model lifecycle.
  • Contribute to strategic, cross-functional initiatives within the MRM organization.
  • Present model validation findings to senior management, internal audit, and supervisory authorities.
  • Represent the bank in interactions with regulatory agencies, as required.

Job Qualifications:

  • Minimum of Master’s degree in a quantitative field (mathematics, statistics, economics, finance, financial engineering, machine learning, etc.) with 5 years of relevant experience.
  • Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second Master’s degree, or CFA.
  • Relevant experience in a quantitative role in either model development or validation at a financial institution, ideally in credit derivative pricing and risk management.
  • Strong model development and validation skills a must (stochastic calculus, numerical techniques, coding in C++/python).
  • Solid written and verbal communication skills with the analytical ability to find practical solutions to challenging problems.
  • Sound understanding of model risk management and validation.
  • Teamwork and strong sense of responsibilities is a must.

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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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.

Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

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