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The health and safety of our colleagues and candidates for employment are our highest priority. Accordingly, Citi continues to monitor the COVID-19 situation closely. We have implemented precautionary measures across our firm globally, including conducting all candidate interviews virtually on a temporary basis until further notice where needed.

Model/Anlys/Valid Sr Analyst

Job Req ID 22526712 Primary Location New York, New York Job Category Risk Management
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Responsibilities:

There is a significant increase in the scope and depth of model validation activities across the firm to meet the commitments made to the regulators and to meet the Model Risk Management Policy standards for the firm.

We are looking for a Model Risk Validator to conduct the validation for quantitative Risk models, such as Credit Risk, Operational Risk, Liquidity Risk, Structured Products, Securities and Securitization (including AFS/HTM), Pension Models, Insurance Models, Interest Rate Models, Scenario Variables/ Macroeconomic Forecasting models, Climate Risk, etc. which are used to assess the adequacy of risk capital and estimated losses for regulatory or business requirements (including CCAR/DFAST, CECL, IFRS9, ICAAP, Basel, Financial Planning, Internal Stress Testing, etc.).

Our rigorous validations cover both technical and functional aspects of Model Risk Management, including the technical assessment of model data, model assumptions, conceptual soundness, mathematical formula, model performance, as well as the functional assessment of using the model for regulatory and business applications.

Requirements:

  • Master’s Degree or equivalent in STEM or other quantitative fields required (Mathematics, Statistics, Financial Engineering, Quantitative Finance etc.) with 1 to 3 years of quantitative 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, CPA or CFA
  • Sound knowledge of Calculus, Numerical Analysis, Statistics, and Linear Algebra.
  • Strong communication and writing skills.
  • Knowledge of financial products, risk management, regulatory requirements (e.g. BASEL, CCAR, CECL, IFRS9, ICAAP, etc.).
  • Ability to work independently as well as collaborate with colleagues.
  • Solid writing skills. Publications in peer-reviewed journals are considered as good evidence.
  • Programming skills: SAS, SQL, R, Python, C/C++, Matlab, Java, Oracle.
  • Curiosity, diligence, and a healthy skepticism about received wisdom are all desirable;
  • Team work and commitment 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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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.

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