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Citibank, N.A. seeks a Model Validation 2nd LOD Sr. Analyst for its Tampa, FL location. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols.
Job Responsibility:
Review the underlying theory, assumptions, limitations, implementation, and testing of XVA models used by Citi
Validation covers technical and functional aspects including model assumptions, conceptual soundness, mathematical formulation, model calibration, and model performance as well as functional assessment of using the model for regulatory and business applications
Manage stakeholder interaction with model developers and business owners during model lifecycle including discussions concerning model limitation severity and compensating controls
Review models and identify shortcoming development documents, perform validation tests, discuss findings with senior stakeholders, write validation reports, and manage model risk on an ongoing basis
Requirements:
Bachelor’s degree, or foreign equivalent, in Mathematics, Statistics, Finance, Computer Science, or related quantitative field
Two (2) years of experience in the job offered or in a related quantitative occupation performing risk analysis and modeling
Two (2) years of experience must include: Performing quantitative review of mathematical and statistical model documentation and testing results utilizing knowledge of calculus, Monte-Carlo simulation, linear algebra, probability theory and stochastic calculus, focusing on modeling approach, justification, mathematical and market assumptions, and calibration procedures
Implementing risk and pricing models using programming languages including C/C++, Python, R, and MATLAB
Designing tests using regulatory requirements, performing independent investigation and testing of models, and identifying material limitations
Delivering model validation reports to stakeholders including the business, market risk management, model governance teams, and regulatory agencies
Managing model risk across the complete modeling lifecycle by executing ongoing performance monitoring, annual model review, and revalidation
Working with risk measures, financial markets, financial institutions, and a broad range of financial products including credit default swaps, options, and swaps
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
discretionary and formulaic incentive and retention awards