Model/Analysis/Validation Officer, Citi

Citi

Location:
United States, New York

Category:
Finance

Contract Type:
Employment contract

Salary:

183325.00 - 200000.00 USD / Year

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Job Description:

Citibank, N.A. seeks a Model/Analysis/Validation Officer for its New York, NY location. The role involves developing, enhancing, and validating methods for measuring and analyzing risk metrics, managing model maintenance, identifying model limitations, and implementing models using computer programming languages.

Job Responsibility:

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

Requirements:

Master’s degree, or foreign equivalent, in Mathematics, Finance, Physics, or a related field
Two (2) years of experience in the job offered or in a related quantitative occupation in the financial services industry
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
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

What we offer:

medical, dental & vision coverage
401(k)
life, accident, and disability insurance
wellness programs
paid time off packages including planned time off (vacation), unplanned time off (sick leave), and paid holidays

Additional Information:

Job Posted:
July 25, 2025

Expiration:
September 09, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Model/Analysis/Validation Officer

Citi

Location:United States, New York

Category:Finance

Contract Type:Employment contract