Citi Group AVP Model/Anlys/Valid Sr Analyst - C12 Hybrid 

United States, Florida, Tampa 

406519779

Responsibilities:

There is a significant increase in the scope and depth of model validation activities across the firm to meet the commitments made to the regulators and to meet the Model Risk Management Policy standards for the firm. We are looking for Model Risk validators to conduct the validation for quantitative risk models, such as Credit Risk, Macroeconomic Scenario Design Model, Climate Risk, Operational Risk, Liquidity Risk, Structured Products, Securities and Securitization, Pension Models, etc. which are used to assess the adequacy of risk capital and estimated losses for regulatory or business requirements (including CCAR/DFAST, CECL, IFRS9, ICAAP, Basel, Financial Planning, Internal Stress Testing, etc.).

Our rigorous validations cover various aspects of Model Risk Management, including the assessment of model data, model assumptions, conceptual soundness, mathematical formula, model performance, as well as the assessment of using the model for regulatory and business usages. 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 Master’s degree in a quantitative field (mathematics, statistics, finance, economics, computer science, physics, etc.) with 3+ years of relevant experience
• Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second Master’s degree, CFA. FRM, or CPA
• Sound knowledge of Calculus, Numerical Analysis, Statistics, and Linear Algebra
• Strong communication skills both verbal and written.
• Knowledge of financial products, model methodologies, risk management, Basel/CCAR regulatory requirements.
• 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: Python, R, SAS, SQL, MATLAB, C/C++, Java, or Oracle
• Curiosity, diligence, and a healthy skepticism about received wisdom are all desirable;
• Teamwork and commitment a must

Anticipated Posting Close Date:

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