Vp model analysis validation officer, Citi

Citi

Location:
United States, Tampa

Category:
Finance

Contract Type:
Not provided

Salary:

113840.00 - 170760.00 USD / Year

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Job Description:

The Credit, Climate, and Obligor Risk Analytics (CORA) group within Citi is looking to add an experienced quantitative analyst at Vice President level to join the Default Risk team in Tampa, FL. The team is responsible for development of the credit risk models used for Basel, stress-testing, loss reserves for Citi's wholesale credit portfolios. This is a highly visible individual contributor position within the organization, covering a wide range of responsibilities to support risk management of global wholesale credit portfolios. The successful candidate will be a part of highly productive analytical team and will be involved in all aspects of the model development process (research and development, implementation, monitoring, validation), which includes interaction with Business, Risk, Finance, Model Validation, Internal and External Audit and Regulators.

Job Responsibility:

Research, develop, and maintain advanced scenario-based loss likelihood and loss severity models for wholesale credit portfolios for Basel, stress-testing (CCAR, ICAAP), reserves (CECL, IFRS9)
Develop quantitative methodologies, algorithms, and tools for model development as well as for testing of models' robustness, stability, and overall performance
Conduct reliability analyses and perform quality control of modeling data and model results
Manage model risk across the entire model life-cycle, including model development, model validation, ongoing performance assessment, and annual model reviews
Create and maintain technical documentation for modeling methodologies and applications, including project plans, model descriptions, mathematical derivations, data analyses, processes, and quality controls
Implement financial quantitative analytical tools and support model migration to the production environment
Liaise with business risk managers, clients and partners in the analysis and interpretation of model results, incorporating their feedback as appropriate
Manage stakeholder interaction with model developers and business owners throughout the model life-cycle
Prepare and deliver training materials, presentations, and reports on credit risk analytics for technical and non-technical audiences
Provide leadership and guidance for junior modelers
Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency
Effective cross-functional project, resource, and stakeholder management
effectively engage with internal audit and external regulators
Actively engage across all model development teams within CORA

Requirements:

3+ years of experience in quantitative financial modeling
Hands-on experience with the research, development, validation and implementation of credit risk models
Experience in credit risk parameter (Probability of Default, PD/Loss Given Default, LGD/Exposure at Default, EAD) modeling and/or validation
Proficiency in working with large data sets and data pulls from relational databases
Knowledge of wholesale credit products and financial markets at a financial institution
Strong programming skills in Python, C++, or other advanced programming languages
Self-motivated and detail oriented
Demonstrated project management and organizational skills
Excellent communication skills, verbal as well as written
Master or PhD degree in Mathematics, Physics, Computer Science, Econometrics, Statistics, Engineering or another quantitative field is required
Bachelor’s degree with 5+ years of experience

Nice to have:

Knowledge of bank stress testing and loss reserves for wholesale credit portfolios for CECL and CCAR or global IFRS9/ICAAP calculation
Experience in Commercial Real Estate PD and LGD modeling
Knowledge of git and GitHub/bitbucket

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:
April 26, 2025

Expiration:
April 30, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Vp model analysis validation officer