Model Validation 2nd Line of Defense Senior Analyst, Citi

Citi

Location:
United States, Long Island City, New York

Category:
Finance

Contract Type:
Employment contract

Salary:

138496.18 - 150200.00 USD / Year

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Job Description:

Citibank, N.A. seeks a Model Validation 2nd Line of Defense Senior Analyst for its Long Island City, New York location. The role involves validating credit risk models using statistical and mathematical tools and economic and finance theories, with a focus on model risk management across the entire model life cycle.

Job Responsibility:

Validate credit risk models using statistical and mathematical tools and economic and finance theories
Assist with model risk management across the model life cycle including model validation, ongoing performance evaluation and annual model reviews
Provide effective challenge to model assumptions, mathematical formulation, and implementation
Test model assumptions and assess model performance
Assess adequacy and relevancy related to modeling data
Assess and evaluate impact of macroeconomic scenarios on bank's credit portfolio
Design and execute quantitative and statistical testing on model framework and performance
Perform data analysis and quantitative/statistical tests using statistical tools
Document model validation outcomes, monitor model performance, and execute independent challenges and assessments in accordance with Model Risk Management Policies and Procedures
Coordinate stakeholder interaction with model developers and business owners during the model life-cycle
Serve as subject matter expert representing the bank in interactions with regulatory agencies
Present model validation findings to senior management and supervisory authorities
Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls
Contribute to strategic, cross-functional initiatives within the model risk organization

Requirements:

Master's degree in Mathematics, Finance, Statistics, or related quantitative field and 1 year of work or internship experience as Model Developer, Model Validator, Risk Analyst, Financial Analyst, Quantitative Analyst or related position involving developing or validating statistical and quantitative models for financial risk management or quantitative research
Alternatively, Bachelor's degree in stated fields and 3 years of specified experience
Experience developing effective challenges to model development process
Experience validating mathematical and statistical models including Derivatives Pricing, Monte Carlo Simulation, Ordinary Least Square Regression, Time Series Analysis, Logistic Regression, or Classification
Experience evaluating conceptual soundness of models and mathematical formulation
Experience assessing adequacy and relevancy to modeling data
Experience assessing model performance under different specifications and scenarios
Experience testing sensitivity of credit risk models to macroeconomic risk drivers
Experience performing data analysis and executing quantitative and statistical tests using SAS/R including Statistical Diagnostic Test, Sensitivity Analysis, Scenario Analysis, Stress Testing, Benchmarking, Backtesting, and Impact Analysis
Experience conducting portfolio loss simulations and tests on model convergence and performance using Python and C++
Experience programming numerical and closed-form pricing models using Python and VBA

What we offer:

Medical, dental & vision coverage
401(k)
Life, accident, and disability insurance
Wellness programs
Paid time off packages including vacation, sick leave, and paid holidays
Discretionary and formulaic incentive and retention awards

Additional Information:

Job Posted:
September 25, 2025

Expiration:
November 11, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Model Validation 2nd Line of Defense Senior Analyst

Citi

Location:United States, Long Island City, New York

Category:Finance

Contract Type:Employment contract