Model/Analysis/Validation Officer
Apply remote type Hybrid locations Long Island City New York United States time type Full time posted on Posted Yesterday time left to apply End Date: December 18, 2024 (30+ days left to apply) job requisition id 24792791
Citibank, N.A. seeks a Model/Analysis/Validation Officer for its Long Island City, New York location.
Duties:
1. Evaluate conceptual soundness and mathematical formulation of models, build benchmarking models, and test modeling assumptions.
2. 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.
3. Validate Wholesale Debt Rating Models following Basel III requirements with Survival Analysis (Cox-Hazard Regression) and Logistic Regression.
4. Utilize techniques such as binning, variable transformation, stepwise regression, spline regression, and bootstrapping.
5. Leverage accounting and financial theories in order to review the financial ratios used in Credit Risk Rating models for risk portfolios.
6. Assess and evaluate Scenario Design Models focusing on macroeconomic and financial variable forecasting.
7. Build benchmarking models to verify selection of model approaches.
8. Design and review ongoing monitoring testing approaches for different model types.
9. Perform ongoing monitoring of the Wholesale Credit Risk Models and Scenario Design Models.
10. Assess the reasonableness of forecasts for macroeconomic and financial variables leveraging economic theories.
11. Validate stress testing results under regulatory requested scenarios.
12. Participate in regulatory and internal audit exams by providing timely responses and preparing presentation materials.
13. Lead communications with internal counterparties on validation findings, and present statistical and non-statistical results in meetings with stakeholders.
14. Document detailed model validation outcomes in accordance with Model Risk Management Policy and Procedure.
15. Develop key model validation reports, including annual model review report and ongoing performance analysis report, and maintain technical documentation.
16. 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.
17. 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;
* 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;
* 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
Anticipated Posting Close Date: Dec 18, 2024
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.
Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities.
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