Model Validation 2nd LOD Sr. Lead Analyst

Citigroup Inc.; New York (NY); Hybrid; USD 208,000 - 248,000; Full time

Benefits offered by this job

Medical, dental & vision coverage

401(k)

Life, accident, disability insurance

Wellness programs

Paid time off & holidays

Job summary

Citigroup Inc. in Long Island City, New York seeks a Model Validation 2nd LOD Senior Lead Analyst to perform rigorous validation of credit derivatives models and assess mathematical formulations and code implementations for accuracy and regulatory compliance.

You will develop benchmarking models, run stress tests, document findings in LaTeX reports, and build Python tools to automate testing while coordinating with stakeholders across Risk Management.

Qualifications

• Requires a Master’s degree in a quantitative field and 3 years of model validation/analysis experience.
• Experience with quantitative tools and financial models including derivatives.
• Strong ability to document analytical processes and results.

Responsibilities

• Validate credit derivatives pricing/risk models and assess model assumptions.
• Develop benchmarking models and cross-check outputs against primary models.
• Perform stress-testing, back-testing and scenario analysis; communicate risks to stakeholders.
• Build Python-based tools to automate testing and enhance validation transparency.

Skills

Quantitative analysis

Model validation

Stress testing

Regulatory compliance

Education

Master’s degree in Mathematical Finance / Financial Engineering / Applied Mathematics / Statistics / Computational Finance / Physics

Tools

Python

R

Job description

Citibank, N.A. seeks a Model Validation 2nd LOD Sr. Lead Analyst for its Long Island City, 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.

Wage Range: $207,600 to $247,900

Job Family Group:

Risk Management

Job Family:

Model Validation

Time Type:

Full time

Primary Location:

Long Island City New York United States

Primary Location Full Time Salary Range:

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.

• medical, dental & vision coverage
• 401(k)
• life, accident, and disability insurance
• wellness programs
• 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.

Most Relevant Skills

Wholesale Lending Operations Management.

Anticipated Posting Close Date:

Oct 30, 2026

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