Model Validation 2nd LOD Sr. Lead Analyst, Citi

Citi

Location:
United States, Long Island City

Category:
Finance

Contract Type:
Not provided

Salary:

176720.00 - 265080.00 USD / Year

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Job Description:

This role sits in the credit derivatives and structured products market valuation model validation team in Model Risk Management (MRM). The position requires an experienced candidate with strong technical, leadership, and organizational skills. The candidate should be fluent in derivative pricing for credit derivatives and structured products and modelling approaches, and should have experience developing models either in a Front Office or Model Validation role. Knowledge and understanding of Rates and XVA would be valuable. Experience with term structure model is preferred. A firm understanding of model risk management regulatory guidance SR 11-7 as it relates to effective model validation practices is expected.

Job Responsibility:

Validate models and manage model risk related issues in credit derivatives and structured products pricing area
Provide effective challenge in regards to mathematical formulation, model assumptions and limitations, calibration, implementation, numerical performance, and business uses
Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls
Develop independent benchmarking tools for validation purposes across the team
Write high-quality model validation documents in compliance with model risk management policy and procedures, internal audio requirements, and regulatory guidance
Provide subject matter expertise to stakeholders and guidance to junior team members
Represent the firm in interactions with regulatory agencies, as required
Contribute to strategic, cross-functional initiatives within MRM as needed

Requirements:

7+ years of relevant working experience
Solid knowledge of credit derivatives and structured products and analytics, term structure models, and industry best practices
Excellent quantitative and analytic skills, including stochastic calculus, Monte Carlo simulation, and numerical methods
Strong communication and documentation skills
Ability to work independently as a validator as well as collaboratively as a team player
Working experience of Python is strongly preferred
knowledge of C++ is a plus
Master’s Degree or equivalent in a quantitative field (e.g. Mathematics, Physics, Engineering, Quantitative Finance, Statistics) is required
PhD preferred

Nice to have:

Knowledge and understanding of Rates and XVA
Experience with term structure model

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 30, 2025

Expiration:
August 05, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Model Validation 2nd LOD Sr. Lead Analyst