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VP, Model Validation - Asset Management Models

Job Req ID 21331360 Primary Location New York, New York Job Category Risk Management
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Citi Model Risk Management (MRM) provides oversight for the MRM Framework, which consists of the policy, processes, and procedures, including model validation.  Validation work will involve reviewing model inputs and assumptions, verifying the mathematical formulation, independently implementing the business/desk model when needed, developing benchmark models to conduct effective challenge, and assessing and quantifying model limitations to inform stakeholders of model risk to determine compensating controls.

This Model Validation role is a member of the Market Valuation Models group within MRM.  The validator will mainly support model validation activities for asset management models used by Citi Private Bank (CPB) and may expect to help validate models in other areas as well (e.g., investment banking, derivatives pricing, etc.) when needed. This position requires strong financial model development and validation skills with relevant industry experience preferably in asset management, investment banking, and/or 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 some in asset management, investment banking, and/or derivatives pricing models.

  • Strong model development and validation skills a must (statistics/econometrics, optimization, stochastic calculus, numerical techniques, coding in C++/python/R/Matlab).

  • 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 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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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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