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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 Officer I

Job Req ID 21323320 Primary Location New York, New York Job Category Risk Management
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Responsibilities:
We are looking for a Senior Model Risk Manager for managing a team of quantitative professionals on the validation of Risk models on Structured Products, Securities and Securitization (including AFS/HTM), Pension and Insurance Products, and Interest Rate Exposures for assessing the adequacy of risk capital and estimated losses for regulatory or business requirements (including CCAR/DFAST, Basel and ICAAP, and Financial Planning and Internal Stress Testing). 

Our rigorous validations cover both technical and functional aspects of Model Risk Management, including the technical assessment of adequacy of the modeling data and assumptions, conceptual soundness and mathematical formulation, and model performance, as well as the functional assessment of using the model for regulatory and business applications. Job responsibilities include managing a team of validators, performing validation tests, discussing findings with internal and external stakeholders, writing validation reports, and managing model risk.

The role entails heavy communication and synchronization with various modelling group within Citi businesses and external vendors. As needed, the role may interaction with government regulatory agencies such as the OCC and FRB. 

Requirements:

•            Excellent knowledge and understanding of a variety of model development and validation testing techniques covering risk models, including but not limited to linear regression models, logistic regression, generalized additive models, decision and regression trees, information gain and related segmentation statistical tools. Previous familiarity with models such as Structured Products, Securities and Securitization (including AFS/HTM), Pension and Insurance Products, and Interest Rate Exposures, etc. is preferred.

•            Deep understanding of financial products, risk management, CCAR/Basel/ICAAP regulatory requirements.

•            Over 6 years in a quantitative role in risk management at a financial institution with experience in either model development or validation.

•            Strong communication skills both verbal and written.

•            Demonstrated project management skills.

•            Graduate degree (Master's Required, preferable Ph.D.) in a highly quantitative field (e.g. Physics, Mathematics, Statistics, Finance, Economics or Engineering).

•            Computer skills in using one or more of programming languages SAS, SQL, R, Python, Matlab, C/C++, Java, Oracle.         

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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.

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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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