Model/Anlys/Valid Officer

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

Duties: Research, develop, and maintain wholesale credit loss models used for regulatory stress testing including Comprehensive Capital Analysis Review, Dodd-Frank Act Stress Test, Internal Capital Adequacy Assessment Process, European Banking Authority, and internal stress testing. Support business, finance, risk managers, fundamental credit risk, model validation, internal audit, and banking supervisors for stress testing related discussions. Participate in the analysis and interpretation of results, incorporating feedback as appropriate into models and metrics.  Actively engage across all model development teams with Wholesale Credit & Climate Risk including Probability of Default, Loss Given Default, Exposure at Default, Current Expected Credit Losses, and International Financial Reporting Standards models. Enhance counterparty credit exposure simulation and pricing. Perform statistical analysis on large volumes of financial data.  Develop and perform model testing. Provide comprehensive explanation of testing results. Develop a unified library of models used in counterparty credit risk.  Assist the desk and risk management in interpretation of risk metrics. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols.

Requires: Master’s degree, or foreign equivalent, in Financial Mathematics, Economics, Computer Science, or related field, and one (1) year of experience in the job offered or in a related occupation researching and developing quantitative risk models within the finance industry. One (1) year of experience must include: Researching and developing quantitative risk models, algorithms, and analytical tools and testing models for robustness, stability, and overall performance; Modeling and stress testing expected cash flows for wholesale lending products and other interest-rate bearing financial instruments; Performing quantitative review of statistical model documentation and testing results, focusing on modeling approach, data analyses, model justification, mathematical and market assumptions, and calibration procedures; Implementing quantitative risk models and unit tests using programming languages including C/C++, Python, and R scripts on Linux and Windows, and supporting integration with production environment; Managing model risk across the entire model lifecycle including model development, model validation, ongoing performance assessment, and annual model reviews; and Creating and maintaining technical documentation for modeling methodologies and applications including project plans, model descriptions, mathematical derivations, data analyses, processes, and quality controls. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/. Please ref Job ID #25879894. EO Employer.

Wage Range:                $127,243.50 to $160,000/year

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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