Model Validation 2nd LOD Sr. Lead Analyst

Citi; New York (NY); Hybrid; USD 208,000 - 248,000; Full time

Benefits offered by this job

Medical coverage

Dental coverage

Vision coverage

401(k)

Wellness programs

Job summary

Citibank, N.A. in New York, NY is seeking a Model Validation 2nd LOD Lead Analyst to conduct rigorous validation of credit derivatives pricing and risk models.

You will scrutinize model development documents, challenge assumptions, and ensure numerical accuracy and regulatory compliance while benchmarking against front-office models. The role involves stress testing, back-testing, scenario analysis, and building Python-based tools to automate testing.

Qualifications

• Master’s degree required with quantitative focus.
• 3+ years of experience in model validation or related field.
• Proficiency in Python or R for data analysis and validation tasks.
• Experience with credit derivatives pricing/risk models preferred.

Responsibilities

• Conduct rigorous validation of credit derivatives pricing and risk models.
• Scrutinize model development documents and challenge assumptions for soundness.
• Develop benchmarking models and perform stress testing and back-testing.
• Document validation findings and mitigate risks with stakeholders in LaTeX reports.

Skills

Python

R

Statistics

Model validation

Credit risk

Education

Master’s degree in quantitative field

Tools

LaTeX

Job description

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.

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

Job Family Group: Risk Management

Job Family: Risk Analytics, Modeling, and Validation

Primary Location: New York New York United States

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.

Anticipated Posting Close Date: Dec 25, 2026

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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