Model Validation 2nd LOD Sr. Lead Analyst

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

Duties: Conduct rigorous model validation of credit derivatives pricing/risk models. Scrutinize mathematical formulations in Model Development Documents and provide evidence-based challenges to model assumptions, conceptual soundness, model performance, and/or limitations. Critically review model assumptions, mathematical frameworks, and code implementation for theoretical soundness, numerical accuracy, and regulatory compliance. Develop benchmarking models against front-office quant models, ensuring alignment with product structure and market behavior or use alternative approaches to cross-check outputs against primary models. Perform stress-testing, back-testing, and scenario analysis to evaluate model robustness under varying market conditions. Validate numerical implementation and compare outputs against independent benchmarks. Regularly monitor model performance and communicate the model risk profile to relevant stakeholders. Build Python-based tools to automate independent testing, benchmarking, and enhance validation transparency. Author LaTeX-based validation reports detailing findings, risks, and mitigation strategies for model developer and other stakeholders in compliance with internal model risk management policies, procedures, and regulatory guidelines. 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 Mathematical Finance, Financial Engineering, Applied Mathematics, Statistics, Computational Finance, Physics or related quantitative field and 3 years of experience as a Capital Markets Researcher, Model/Analysis/Validation Officer, Quantitative Analyst, Credit Risk Modeler or Researcher, Financial Engineer, Quantitative Developer, Derivatives Trader, Data Scientist, PhD Researcher, or related position involving model validation, quantitative analysis and model development. Full span of experience must include: Quantitative model development, model validation, and financial model assessment; Developing and using analytical tools to support model validation and financial analysis; Python or R for data analysis, model validation, and work efficiency improvements; Understanding of fixed income instruments and credit-related products including valuation concepts and risk characteristics; Applying statistical and numerical techniques for model validation or financial analysis; Documenting analytical processes, model validation results, and data assessments; and Preparing validation reports and interacting with key stakeholders. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #261005294. EO Employer.

Wage Range: $207,600 to $247,900 Job Family Group: Risk Management Job Family: Risk Analytics, Modeling, and Validation

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