Citi Group Model/Anlys/Valid Sr Officer 

United States, New York, New York 

652231826

Duties: Develop and implement a platform for executing Credit Loss Models for stress testing on Citi’s Wholesale portfolio. Create frameworks for advanced mathematical analysis techniques and for using sophisticated computational skills to perform complex computer-driven mathematical analysis. Review and understand analytical methodology and documentation. Implement and test proposed model methodology in Python programming language. Develop expertise in product knowledge through research and communications with Portfolio Management team and model sponsors. Create verification and testing methodology for model implementation. Create and submit Model Unit Tests to Model Development team for model implementation review and validation. Research and develop analytical tools to address issues such as portfolio construction, optimization, performance measurement, attribution, and pricing models. Provide application and analytical support to researchers and risk managers on issues such as model analytics and reports. Collaborate in the development and testing of new analytical software to ensure compliance with user requirements, specifications, and scope. Confer with other financial engineers or analysts on risk management strategies, market dynamics, and analytical system performance to inform development of new techniques. Collaborate with product development teams to research, model, validate, and implement quantitative structured solutions for new portfolios. Prepare requirements documentation for use by software developers. 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, Computer Science, Electrical Engineering, or a related field, and three (3) years of experience in the job offered or in a related quantitative occupation performing risk model development. Three (3) years of experience must include: Developing and testing Wholesale Credit Stress Loss models for regulatory practices including CCAR, CECL, ICAAP, and IFRS9; Working with Foundation Models including Probability of Default, Loss Given Default, Credit Conversion Factor, and Facility Incremental Use; Writing software requirements for implementing stress loss models, providing detailed design using Software Engineering best practices, and validating the implementation results; and Performing and optimizing large numerical codes associated with Wholesale Credit Loss and conducting large-scale financial simulations using programming languages, statistical tools, and software including SAS, R, Python, MATLAB, and C++, and libraries including Pandas and Numpy. 40 hrs./wk. Applicants submit resumes at . Please reference Job ID # 25848724. EO Employer.

Wage Range: $196,150.50 to $233,800.00

Anticipated Posting Close Date: