Model/Analysis/Validation Sr. Officer

Model/Analysis/Validation Sr. Officer

Citibank, N.A. seeks a Model/Analysis/Validation Sr. Officer for its Tampa, FL location.

Duties: Research, develop, and maintain wholesale credit loss models used for regulatory stress testing including Comprehensive Capital Analysis and Review (CCAR), Dodd-Frank Act Stress Test (DFAST), Internal Capital Adequacy Assessment Process (ICAAP), European Banking Authority (EBA), internal stress testing, and audited credit reserves subject to Current Expected Credit Loss (CECL), and/or International Financial Reporting Standards (IFRS) 9. Serve as subject matter expert relating to credit portfolios held for sale or at fair value. Support business, finance, risk managers, fundamental credit risk, model validation, internal and external auditors, and banking supervisors for stress testing and reserves-related discussions. Help to coordinate activities of other modeling team members in development, testing, and documentation of credit loss models. Participate in the analysis and interpretation of results, incorporating feedback as appropriate into models and metrics. Engage across all model development teams within Citi's Credit, Climate and Obligor Risk Analytics (CORA) organization, including Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models. Participate in development CCAR Stress Testing, Global Systemic Stress Testing, and CECL Credit Reserves models, including default loss, pricing, and balance forecasting models. Build and maintain scalable analytical tools and dashboards that support stress testing, risk management, and reporting for internal and external stakeholders. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols.

Requirements: Master's degree, or foreign equivalent, in Econometrics, Statistics, Mathematics, Finance, or a related field, and three (3) years of experience in the job offered or in a related quantitative occupation validating credit risk measures. Three (3) years of experience must include: Coding with Python, C++, and R in Linux/Windows environments, including software development collaboration technologies Git and Bitbucket; Developing credit loss models and pricing models using regression analysis and forward curve models applied to large-scale portfolios; Calculating credit metrics and measures including Value-at-Risk (VaR) and Expected Shortfall; Utilizing knowledge of GAAP accounting treatments and fixed income securities, including structured products and associated collateral; Testing model assumptions and sensitivity of credit risk models to macroeconomic risk drivers; and Analyzing and visualizing model results using Python, Excel, and visualization tools including Tableau for reporting and senior management discussion purposes.

In addition to salary, Citi's offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.