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Model/Anlys/Valid Officer - C13

Job Req ID 21365193 Primary Location Tampa, Florida; Wilmington, Delaware 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 an experienced Model Risk Manager to lead 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.

This role may entail heavy communication and coordination with various model developer groups within Citi businesses, and with external vendors. As needed, the role may interact with internal audits,  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 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. is preferred.
  • Deep understanding of financial products, risk management, CCAR/Basel/ICAAP regulatory requirements.
  • Sound knowledge of Calculus, Numerical Analysis, Statistics, and Linear Algebra.
  • At least over 3 years at a financial institution with experience in either model development, model validation or model uses.
  • Strong communication skills (both verbal and writing skills).
  • Strong project management skills.
  • Graduate degree (Master's Required, preferable Ph.D.) in a highly quantitative field (e.g. Physics, Mathematics, Statistics, Finance, Economics, Computer Science, Engineering, etc.).
  • Programming skills in using one or more of programming languages, such as SAS, SQL, R, Python, MATLAB, C/C++, Java, Oracle, etc.
  • CFA, FRM, or CPA is a plus.
  • 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:

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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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