Model/Analysis/Validation Senior Analyst

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

Duties: Analyze the performance of highly  quantitative Comprehensive Capital Analysis and Review (CCAR)/Dodd-Frank Act stress testing (DFAST) econometric stress loss forecasting models. Support countries and regions for CCAR/DFAST Current Expected Credit Losses (CECL) quarterly and annual model performance reporting. Compare performances of different modeling suites like Champion, Challenger, and Benchmark models for regulatory submission and to plan for future change in usages based on performances of these models across different forecast horizons of short term, medium term and long term. Use loss forecast modeling in modeling process to provide diagnostics of forecasting results and to enhance model monitoring process. Monitor model performance on quarterly basis by analyzing and summarizing back-testing results according to Citibank Model Testing Guidance using valid assumptions of portfolio forecast and macroeconomic scenario forecast data as input. Document modeling activities related to model development, model change, model monitoring and forecasting analysis. Working on controls to secure regulatory submission  activities with all approvals to comply with US banking modeling laws, banking regulations, and Citibank Internal Model Management Policy. Monitor regulatory loss forecast model results using statistics concepts including Survival Analysis, Logistc Regression, Fractional Logistic Regression, Linear Regression, Hypothesis Analysis, and Mean/Variance. Use SAS to build codes, run model diagnostics, perform deep dives and prepare the analysis to present senior stakeholders about the variations in performance of the regulatory models. 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 Quantitative Finance & Risk Management, Finance, Statistics, Mathematics, Economics, or related quantitative field and 2 years of experience as a Model/Analysis/Validation Senior Analyst, Credit Analyst, Financial Analyst, or related position involving model development and forecasting for the financial services industry. Alternatively, employer will accept a Bachelor’s degree in the specified fields and 5 years of progressively responsible, post-baccalaureate experience in the above positions. Full span of experience must include: Apply programming languages to build automated codes, calculate validation metrics, extract datasets, databases, and perform model diagnostics; Statistical model development to monitor quantitative regulatory models under baseline and stress macroeconomic scenarios; Statistics concepts including hypothesis analysis, summary metrics, and mean/variance for data analysis for loss forecast modeling; Conducting risk management, credit risk, risk assessment, credit rating, loss forecasting, and modeling using mathematical and statistical principles; Loss Forecast Modeling Framework; Financial economics, macroeconomics, econometrics, and advanced mathematics and statistics to quantify model changes and build alternate models; Quantitative risk and model management; and Model regulatory compliance. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #24818779. EO Employer.

Wage Range:                $109,500 to $130,947.90

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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