Model/Analysis/Validation Senior Analyst

Citibank N.A. seeks a Model/Analysis/Validation Senior Analyst for its Tampa, FL location.

Duties: Coordinate the end-to-end model review and validation workflows for new and existing models, under the supervision of the validation lead. Evaluate the conceptual and technical soundness of diverse mathematical models (interest rate modeling, mortgage prepayment/default models, and derivative pricing models) used in risk management across firm and authorize their use based on evaluation results. Provide effective challenge on the conceptual and technical soundness of the model, design, theory, assumptions, and framework through various testing. Perform outcomes analysis, including back testing, model benchmarking, stress testing, and sensitivity analysis on various assumptions and under different scenarios. Interact with stakeholders such as model developers, model sponsors, model users, and IT implementation for model risk management related activities. Assist the validation lead on quarterly and annual model performance review or revalidation, model inventory reconciliation, etc. Closely assess and monitor model limitations and compensating controls, including analysis of performance threshold breaches, control breaks, documentation and escalation to stakeholders. Collaborate with members of the global team to ensure that consistent and standardized best practices are applied in the areas of Model Validation and documentation. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements: Master’s degree, or foreign equivalent, in Financial Engineering, Applied Mathematics, or a related field, and one (1) year of model development/validation experience in the job offered, or in a related occupation in the banking industry. One (1) year of experience must include: Evaluating conceptual and technical soundness of mathematical pricing and risk models for fixed income products including forwards, options, swaps, and securitization, based on theories and practice of financial mathematics; Providing effective challenges on modeling approach, framework, assumptions, and performance by conducting various testing on the models including error/convergence testing, backtesting, benchmarking, and stress/sensitivity testing; Using programming languages including C++/Python and R to understand the modeling code and to conduct various testing on models; Extracting data from relational databases using SQL and conducting data analysis using programming language Python/R to generate numerical and graphic reports; Preparing and maintaining model documentation compliant with regulatory Supervision and Regulation Letter SR11-7 related to various aspects of model assessment including data analysis, model methodology, model performance, and implementation; and Working with predictive modeling techniques including decision trees, regressions, and machine learning. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #24786591. EO Employer.

Wage Range:                $101,000.00 to $125,000.00

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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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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