Model/Analysis/Validation Officer

Model/Analysis/Validation Officer

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Job Overview

Citibank, N.A. seeks a Model/Analysis/Validation Officer for its Tampa, Florida location. Duties include developing, enhancing, and validating methods of measuring and analyzing counterparty credit risk by means of statistical modeling, data analysis, and Monte Carlo simulation. Conduct rigorous performance tests of all counterparty credit risk models in production through back-testing, impact analysis, statistical analysis, and other quantitative measures using hypothetical testing, regression, and statistical inference. Apply Monte Carlo methods for counterparty credit risk estimation. Develop models of stochastic evolution of financial risk factors. Apply statistical hypothesis testing framework to benchmark simulated risk factors against historical data. Perform time series analysis for calibration of risk factor simulation based on the knowledge in time series analysis and convex optimization. Track and understand changes in derivatives pricing models in order to properly incorporate them in counterparty credit risk simulation, leveraging knowledge of financial derivative pricing, stochastic process, and stochastic calculus. Design computer code for performance and production testing of counterparty risk models using Python and shell script programming. Maintain efficient communication with all model stakeholders including business, validation, governance, and IT. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements: Requires at least a Master's degree, or foreign equivalent, in Applied Mathematics, Computational Mathematics, Statistical Data Science, Applied Mathematics, Computer Science, or related quantitative field and 1 year of experience as a Model/Analysis/Validation Senior Analyst, Quantitative Analyst, Statistician, or related position involving risk models development, testing, and validations in a global financial services institution. Alternatively, employer will accept a Bachelor's degree in the stated fields and 3 years of the specified progressive, post-baccalaureate experience. Full span of experience must include: Financial counterparty credit risk (CCR) analysis and modeling; U.S. and international regulations pertaining to counterparty credit risk management; Finance derivative pricing, stochastic process, and stochastic calculus; CCR risk factor simulation using applied mathematics and numerical techniques, including convex optimization; Statistical modeling and numerical simulation, including Monte Carlo simulation; CCR model ongoing monitoring by hypothetical testing and data analysis; Model development, analysis, and performance reporting using Python, SQL; Time series analysis and statistical inference; Code writing, testing, and validation in support of full cycle of model development using Python; Linux; Shell script programming. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #25908821. EO Employer.

Wage Range: $134,706 to $160,000

Job Family Group: Risk Management

Job Family: Risk Analytics, Modeling, and Validation