Model/Analysis/Validation Officer

Citibank, N.A. seeks a Model/Analysis/Validation Officer for its Tampa, Florida location.

Duties: Develop and maintain the logic for Derivative Security Financing Transactions (DSFT) commodities collaterals model to determine liquidity and concentration levels in order to estimate appropriate Margin Period of Risk (MPOR) for capital reserve calculations. Create and evaluate thresholds for breaches monitoring using statistical measures in accordance with Federal Reserve Board (FRB) requirements for DSFT collaterals. Estimate credit exposure factor (CEF) for initial margin requirements and potential future exposure of derivative products to support the trading desks in obtaining pre-trade approvals. Support finance team with CVA RWA (Credit Valuation Adjustment Risk Weighted Asset) value changes investigations, analyze its input variables and assist with regulators and internal review teams queries and remediation actions for advanced Risk Weighted Asset (RWA) calculations. Develop and build a new cross-functional model used to determine the MPOR based on liquidity metrics for Over-the-Counter (OTC) bilateral and cleared derivative trades to meet model risk management and regulatory requirements. Prepare, review and analyze variance analysis report for Advanced Approach Exposure at Default (EAD) and RWA changes at the counterparty level and set controls metrics per regulatory requirements to monitor and investigate monthly and quarterly changes for Over-the-Counter (OTC) and Security Financing Transactions (SFT) products and present findings to senior management and relevant stakeholders. Assist with inquiries from stakeholders and ad-hoc regulatory analysis to address production support inquiries, identify and explain root cause issues and remediation plan for exposure changes. Map and maintain derivative products to risk models for pricing and exposure calculation and collaborate with multiple teams to design a new firm-wide product taxonomy. Coordinate with risk technology, businesses and model validation teams to improve model coverage for various derivative products by addressing data quality issues and reducing punitive RWA treatment under Basel II/III and compute risk exposure and capital impact of configuration logic changes. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements: Requires a Master’s degree, or foreign equivalent in Finance, Financial Risk Management, Economics or related field and 2 years of experience as a Financial Analyst, Model/Analysis/Validation Senior Analyst, Risk Analyst or related position involving Counterparty Credit Risk analysis, and product pricing, trend and variance analysis for the financial services industry. Alternatively, employer will accept a Bachelor’s degree in the stated fields and 4 years of the specified experience. Full span of experience must include: Financial regulations including Basel III and IV Accord Pillars, BASEL III MPOR rules, U.S. Final Rules for counterparty credit risk; CCAR and ICAAP stress testing frameworks and regulatory capital reserves; Python programming language; Simulation and forecasting of financial variables using Monte-Carlo simulation; Regression analysis to develop and maintain configurations for quantitative models; Binominal pricing method and Black-Scholes approach for trade valuation; Derivative Security Financing Transactions (DSFT) and Over-the-Counter (OTC) trading strategies and derivative products such as swaps, options, futures, and forwards; Exposure at Default (EAD) estimation and Credit Valuation Adjustment Risk Weighted Asset (CVA RWA) approach calculation framework for regulatory capital calculations; Liquidity Risk and Counterparty Credit Risk management including methodologies for counterparty risk models and market risk Value at Risk (VaR) methodology; and Quantitative models for counterparty credit risk pricing and simulation. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #25833284. EO Employer.

Wage Range:                $122,184 to $160,000

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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