Citi Group Model/Analysis/Validation Officer 

United States, Florida, Tampa 

574063247

Duties: Develop, enhance, and validate methods for measuring and analyzing risk metrics including stress loss usage and risk capital for trading book assets including market and counterparty credit. Manage model maintenance throughout model lifecycle including model validation, ongoing performance evaluation, and annual model reviews. Identify model limitations and develop model improvements. Implement model using computer programming languages, and design and implement user interface for model usage in production system. Design and implement data pipeline for sourcing input feeds and generating output from model implementation. Carry out data analysis for model calibration, verify data quality and detect outliers. Enhance tools for model performance analysis, and design and implement methods for stress loss attribution analysis, sensitivity analysis, and model performance assessment. Coordinate with multiple parties to ensure reliable and efficient production process for risk metric calculations. Communicate results to diverse audiences including key stakeholders and regulators. 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 Mathematics, Finance, Physics, or a related field, and two (2) years of experience in the job offered, or in a related occupation in the financial services industry. Employer will accept pre- or post- Master’s degree experience. Two (2) years of experience must include: Conducting data analysis including correlations, volatilities and stressed volatilities studies, regression analysis, outlier detection, and backfilling; Working with stochastic processes and standard statistical theories and applications to develop analytical and simulation-based methodologies for predicting stress loss for market risk and counterparty credit risk; Using python statistical coding software to build and test prediction models for stress losses and other risk metrics based on Monte-Carlo simulation method and advanced sampling techniques; Using advanced mathematical skills to assess model performance for risk metrics including VaR and EDS; Participating in model development or validation process including model documentation, performance analysis, obtaining approval from model validation, and maintaining model through ongoing performance analysis and annual model reviews; Providing support for model implementation, production processes, and system integration; and Working with Linux system and industry standard code management protocols and tools and collaborating to build end-to-end infrastructure for risk metric calculation in production environment. 40 hrs./wk. Applicants submit resumes at . Please reference Job ID #24780392. EO Employer.

Wage Range: $144,000.00 to $152,238.77

Anticipated Posting Close Date:

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