Citi Group Modeling /Analysis/ Validation Officer 

United States, New York, New York 

144794857

Duties: Perform model evaluation as per SR11-7 Federal Reserve Bank regulatory guidelines. Identify, measure, collect, and manage Model Risk of Economic Forecast, Pre-Provision Net Revenue (PPNR), Credit Risk, Liquidity Risk, Operational Risk for the purposes of Comprehensive Capital Analysis and Review (CCAR) modeling, ICAAP & DFAST regulatory exercises and stress modeling. Support team leads on policy enhancements and model evaluations initiatives and develop climate risk model guidance for the purpose of qualitative modeling. Evaluate model performance as per requirements outlined in the MRM Policies and Guidance. Enhance the MRM Policy and guidance as needed. Collaborate with model sponsors, model developers, model risk supervision groups, internal audit, and regulatory agencies to assess for possible risk, perform updates and ensure compliance with regulations. Write validation reports, review model change addendums, ongoing performance monitoring reports and limitation-based remediation documentations based on validator’s judgement of evaluation results. Remote work may be permitted within a commutable distance from the worksite, in accordance with Citi policy.

Requirements: Master’s degree, or foreign equivalent, in Applied Mathematics, Statistics, Mathematical Finance, Economics, or a related field, and five (5) years of experience in the job offered or in a related occupation. Five (5) years of experience must include: Risk management policy strategy and modeling as per SR11-7, SR-15-18, SR15-19 regulatory guidelines; Evaluating models based on SR11-7 guidelines; Completing SAS, R and Excel programming; Managing model risk across the model lifecycle including model validation, ongoing performance evaluation and annual model reviews; Preparing statistical and non-statistical data exploration, validating data, identifying data quality issues and conducting data analysis, and reading and creating formal statistical documentation; Assessing risk when business decisions are made, driving compliance with applicable laws, rules and regulations, adhering to policy, applying sound ethical judgment, adhering to business practices, and escalating, managing and reporting control issues with transparency; Performing technical model documentation and executing model performance testing in compliance with Model Risk Management guidelines; Assessing and quantifying model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls; and Leading efforts for preparation and submission of deliverables in regulatory Exams, internal audits, and reviews by coordinating participation and inputs from modeling teams. 40 hrs./wk. Applicants submit resumes at . Please reference Job ID # 24733928. EO Employer.

Wage Range: $169,707.00 to $182,000.00

Anticipated Posting Close Date:

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