Citi Group Model/Anlys/Valid Officer VP 

United States, Florida, Tampa 

911885059

Responsibilities:
We are looking for model risk manager and validator for validating Risk models, which includes Credit Risk, Liquidity Risk, Insurance and Pension, Structured Risk, Operational Risk models for assessing the adequacy of risk capital and estimated losses for regulatory or business requirements.

Our rigorous validations include the technical assessment of adequacy of the modeling data and assumptions, conceptual soundness and mathematical formulation, and model performance, as well as the assessment of using the model for regulatory and business applications. Responsibilities of this position include performing validation tests, discussing findings with internal and external stakeholders, writing validation reports, and managing model risk.

Requirements:

• Minimum of 3 years or equivalent in a quantitative role in risk management at a financial institution with experience in either model development or validation.

• Graduate degree (preferable Ph.D.) in a highly quantitative field (e.g. Physics, Mathematics, Statistics, Finance, Economics or Engineering, etc.).

• Sound knowledge of Calculus, Numerical Analysis, Statistics, and Linear Algebra.

• Good understanding of financial products, risk management, regulatory requirements (e.g. BASEL, CCAR, CECL, IFRS9, ICAAP, etc).

• Statistical modeling and database experience or training in the area of risk management.

• Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models.

• Strong communication and writing skills as the work involves frequent interaction with model developers, risk managers, other stakeholders as well as internal / external audit and regulators.

• Ability to work independently as well as collaborate with colleagues.

• Solid writing skills. Publications in peer-reviewed journals are considered as good evidence.

• Programming skills: SAS, SQL, R, Python, Matlab, C/C++, Java, Oracle.

• Curiosity, diligence, and a healthy skepticism about received wisdom are all desirable.

• Team work and commitment a must.

Anticipated Posting Close Date:

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