Model/Analysis/Validation Officer
Collaborate with Model Risk Management, Global Market Risk, and Risk IT to implement new models, resolve production issues, and enhance existing implementation. Calibrate model parameters and perform variance analysis to explain changes in model output due to parameter updates.
Perform ongoing analysis of models including back testing and Profit Attribution Analysis. Collaborate with market risk managers and businesses on analytics-related matters. Support various tasks in response to regulatory and internal risk management requirements.
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 Mathematics, Statistics, Finance, or a related quantitative field, and four (4) years of experience in the job offered or in a related occupation in the financial services industry.
Four (4) years of experience must include: Developing quantitative and statistical model documentation and testing results focusing on modeling approach, justification, mathematical and market assumptions, and calibration procedures; Implementing risk models using programming languages including Python and scripts on Linux and Windows and collaborating with IT for model releases; Extracting and processing historical time series data using Python and SQL developer to perform statistical data analysis; Designing tests using Basel rules to fulfill internal business and regulatory requirements; and Addressing model risk across the complete modeling lifecycle by proposing remediation plans for model limitation, performing ongoing performance monitoring, annual model review, and revalidation.
In the alternative, employer with accept a Ph.D., or foreign equivalent, in an above stated field of study, and one (1) year of experience in the job offered or in a related occupation in the financial services industry. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID # 24816448. EO Employer.
Minimum Salary: 156000.00Maximum Salary: 200000.00
Salary Unit: Yearly