Model/Analysis/Validation Officer

Citibank, N.A. seeks a Model/Analysis/Validation Officer for its Long Island City, New York location.

Duties: Evaluate conceptual soundness and mathematical formulation of models, build benchmarking models, and test modeling assumptions. Conduct quantitative and statistical testing on modeling data, assess adequacy and relevancy of modeling data, and evaluate data processing approaches and conduct performance testing utilizing SQL queries, Python (Numpy, Pandas, Statsmodels, Matplotlib, Scikit-learn), R, SAS, and Excel. Validate Wholesale Debt Rating Models following Basel III requirements with Survival Analysis (Cox-Hazard Regression) and Logistic Regression, and utilize techniques such as binning, variable transformation, stepwise regression, spline regression, and bootstrapping. Leverage accounting and financial theories in order to review the financial ratios used in Credit Risk Rating models for risk portfolios that include funds, insurances, commercial and industrial companies, mortgage rates, commercial real estates, commodities, sports finance, sovereign ratings, utilities, and supranational. Assess and evaluate Scenario Design Models focusing on macroeconomic and financial variable forecasting by leveraging approaches that include Time Series Regression, Global Vector Autoregressive, Univariate/Multivariate Regression, Vector Error Correction Model and Principal Component Analysis. Build benchmarking models to verify selection of model approaches. Design and review ongoing monitoring testing approaches for different model types. Perform ongoing monitoring of the Wholesale Credit Risk Models and Scenario Design Models. Assess the reasonableness of forecasts for macroeconomic and financial variables leveraging economic theories. Validate stress testing results under regulatory requested scenarios for CCAR, CECL, IFRS9, ICAAP, QMMF, GSST, and RST. Participate in regulatory and internal audit exams by providing timely responses and preparing presentation materials. Lead communications with internal counterparties on validation findings, and present statistical and non-statistical results in meetings with stakeholders. Document detailed model validation outcomes in accordance with Model Risk Management Policy and Procedure. Develop key model validation reports, including annual model review report and ongoing performance analysis report, and maintain technical documentation. Lead validation project working groups by hosting regular project meetings, tracking project progress, providing timely instruction and feedback, reviewing validation deliverables and controlling the quality. Assist with training junior analysts on validation projects, relative policies, programming and analytical tools, statistical modeling, and technical reporting. 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 Mathematics, Statistics, or related field and 2 years of experience as a Model Validator, Model/Analysis/Validation Analyst, or related position involving model validation for Wholesale Credit Risk Rating and Scenario Design areas within the financial domain. 2 years of experience must include: Statistical modeling including linear regression, variable transformation and selection; Programming and analytical tools: SAS, R, and Excel; Presenting model validation findings and performance analysis; Technical writing of model validation reports; Model Risk Management procedures including sensitivity testing, stability testing, backtesting, and benchmarking; Financial ratio review and credit risk rating; and Credit risk models for portfolios including funds, insurances, commercial and industrial companies, mortgage rates, commercial real estates, utilities. Additionally, 1 year of experience must include: Logistic regression, survival analysis, time series, and PCA; Python and SQL; Regulatory requirements including CCAR, Basel, CECL, QMMF, IFRS9, GSST, RST, and ICAAP; Project management of validation projects of various types including Wholesale Risk Rating Scorecard, Wholesale Debt Rating Models, Wholesale Sovereign Rating Models, Scenario Design models, overlay review, Performance Plan review, regulatory and internal audit exams; and Economic forecasting. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #24792791. EO Employer.

Wage Range:                $176,400 to $182,000

Job Family Group:        Risk Management

Job Family:                  Risk Analytics, Modeling, and Validation

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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.

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Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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Salary : $151,500 - $180,000