Citi Group Model/Analysis/Validation Officer 

United States, Texas, Irving 

227514367

Duties: Validate Loss Forecasting and PPNR (Pre-Prevision Net Revenue) models with the primary area in the ICAAP (Internal Capital Adequacy Assessment Process). Cover both technical and functional aspects, including developments, enhancement, and validation methods of measuring and analyzing risk, for all risk model types mentioned above. Assess the model assumptions, conceptual soundness, mathematical formulation, model calibration, and model performance. Evaluate the models for regulatory and other business applications. Perform and review validation tests using computer programming languages, such as open sources analytical tools including Python, R, as well as SAS, and SQL. Prepare business as usual and ad-hoc reports in accordance with the Risk Management Teams priorities and requirements, running integrity checks on the reports and checking key numbers from other independently created reports. Discuss findings with internal and external stakeholders, writing validation documents, and managing model risk on an ongoing basis. Interact with overseas model sponsors to ensure Citi model framework and ICAAP (Internal Capital Adequacy Assessment Process) standards are maintained throughout the model development and ongoing model monitoring. Mentoring junior team members, providing training. Responding to regulatory and Internal Audit inquiries regarding conceptual soundness of 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 Statistics, Applied Mathematics, Operations Research, Economics, Quantitative Finance, Financial Engineering or related field and 3 years of experience as a Quantitative Model Developer, Quantitative Risk Modeler, Associate, or related position involving model validation and development for a global financial or investment banking institution. 3 years of experience must include: Knowledge of Economics and Finance in relation to asset classes including Fixed Income, Equity, and Derivatives; analyzing and modeling Balance Sheet and Income Statement. Using statistics and mathematics to develop quantitative models (transition matrix, loss forecasting). Regulatory requirements, industry standards on model validation, model risk management and stress testing. Programming Languages R, Python and SAS for data treatment and performing econometrics analysis. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #24741197. EO Employer.

Wage Range: $138,041.90 to $173,500

Anticipated Posting Close Date:

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