Model Validation 2nd LOD Lead Analyst

Model Validation 2nd LOD Lead Analyst

Citibank, N.A. seeks a Model Validation 2nd LOD Lead Analyst for its Tampa, Florida location.

Duties: Validate credit risk models using statistical/mathematical tools and economic/finance theories. Manage model risk across the model life-cycle including model validation, ongoing performance evaluation, and annual model reviews. Provide effective challenge to model assumptions, mathematical formulation, and implementation. Test model assumptions and assess model performance. Assess adequacy and relevancy related to modeling data. Assess and evaluate impact of macroeconomic scenarios on bank's credit portfolio. Design and execute quantitative and statistical testing on model framework and performance. Perform data analysis and quantitative/statistical tests using statistical tools. Document model validation outcomes, monitor model performance, and execute independent challenges and assessments in accordance with Model Risk Management Policies and Procedures. Conduct analysis and package its process and finding into detailed technical documentation report for validation purposes, meeting regulatory guidelines and exceeding industry standards. Manage stakeholder interaction with model developers and business owners during the model life-cycle. Represent the bank in interactions with regulatory agencies, as required. Present model validation findings to senior management and supervisory authorities. Assess and quantify risk associated with the model due to model limitations, and inform stakeholders of the risk profile and advise on development of compensating controls. Contribute to strategic, cross-functional initiatives within the model risk organization. Provides guidance to junior validators as and when necessary. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements: Requires a Master's degree, or foreign equivalent, in Statistics, Mathematics, Applied Mathematics, Computer Science, Electronics Engineering, or related quantitative field and 2 years of experience as a Model/Analysis/Validation Senior Analyst, Model Developer, Risk Analyst, or related position involving model development, validation and performance control in support of risk management for a global financial services industry. 2 years of experience must include: Validating mathematical and/or statistical models used for stress testing, regulatory reporting and other risk management purposes, including Derivatives Pricing, Monte Carlo Simulation, Ordinary Least Square Regression, Time Series Analysis, Logistic Regression, or Classification, and evaluating conceptual soundness of the model and mathematical formulation; Assessment of adequacy and relevancy related to modeling data, and assessing model performance under different specifications and scenarios, and testing sensitivity of credit risk models to macroeconomic risk drivers; Using advanced statistical and mathematical knowledge for model assumption testing and model performance assessment under different specifications and scenarios; Using model development process and testing techniques for evaluation of related documentation; Economic research for macroeconomic scenarios analysis and testing of model sensitivity to projected economic and market movements; Performing data analysis and executing quantitative/statistical tests using SAS/R, including Statistical Diagnostic Test, Sensitivity Analysis, Scenario Analysis, Stress Testing, Benchmarking, Backtesting, and Impact Analysis; Conducting portfolio loss simulations and tests on the model convergence and performance using C++ and/or Python; and Assessing models in accordance with regulatory requirements on banking system, including capital requirement (Basel), Loan Loss Reserve/Impairment estimation (CECL/IFRS9), and regulatory stress testing (Dodd-Frank Act Stress Tests (DFAST), Comprehensive Capital Analysis and Review (CCAR), and Internal Capital Adequacy Assessment Process (ICAAP)). Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #25891423. EO Employer.