Model Validation 2nd LOD Sr. Lead Analyst

Citigroup Inc.; New York (NY); Hybrid; USD 211,000 - 248,000; Full time

Job summary

Citibank, N.A. in Long Island City, NY seeks a Model Validation 2nd LOD Sr. Lead Analyst to validate credit risk models across wholesale portfolios and stress-testing programs, including CCAR, Basel parameter models, ICAAP, and IFRS9/CECL compliance.

The role requires reviewing validation documentation, assessing model risk, and proposing remediation timelines in coordination with stakeholders. Strong programming in SAS, R, Python, MATLAB, or C++ is essential.

Qualifications

• Bachelor's degree in Statistics, Mathematics, Finance, Economics, or a related field required.
• Ten years of experience in credit risk model validation within Wholesale Portfolios Basel Parameter models, CCAR, CECL/IFRS9, and ICAAP.
• Proficiency with SAS, R, Python, MATLAB, and C++ for modeling and validation.

Responsibilities

• Conduct validations of credit risk models used across wholesale banking portfolios (CCAR, Basel, IFRS9/CECL).
• Assess modeling assumptions, document validation outcomes, and propose remediation timelines.
• Prepare and address internal/external regulatory exams on model validations.

Skills

Wholesale Lending OperationsManagement

Education

Bachelor’s degree in Statistics, Mathematics, Finance, Economics, or a related field

Master’s degree or foreign equivalent (optional)

PhD (optional)

Tools

SAS

R

Python

MATLAB

C++

Job description

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

DUTIES: Conduct validations of credit risk models used across wholesale banking portfolios, including models for commercial real estate CCAR, AFS/HTM direct obligations stress testing, RWA estimation, Wholesale Basel parameter calculations, EBA stress testing, ICAAP, and climate stress testing. Assess and test modeling assumptions to ensure that inherent model assumptions are aligned with model methodology theory and their design objectives and are fit for their intended purpose and use. Conduct validation testing and guidance that align with regulatory requirements outlined in Basel/CCAR/CECL/IFRS9/ICAAP/EBA and other regulations including Citi internal Model Risk Management policy. Assess the overall model risk and determine the Model Risk Rating. Conduct thorough reviews of validation documentation, including Model Validation Reports, Ongoing Monitoring Conclusion Document, and Annual Model Review. Review and assess the validation outcomes in accordance with Model Risk Management Policies and Procedures. Propose remediation plans for model limitations identified during the validation process and document remediation timelines in coordination with stakeholders. Review and assess evidence and accept or challenge proposals to close action items for model risk mitigation. Prepare and address internal and external federal exams on model validations. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols.

REQUIREMENTS: Bachelor’s degree, or foreign equivalent, in Statistics, Mathematics, Finance, Economics, or a related field, and ten (10) years of experience in the job offered or in a related quantitative occupation. Ten (10) years of experience must include: Conducting credit risk model validation within Wholesale Portfolios Basel Parameter models, CCAR, CECL/IFRS9, and Internal Capital Adequacy Assessment Process (ICAAP) models; Applying the regulatory requirements outlined in CCAR, Basel rules, EBA stress testing, ICAAP, IFRS 9, and CECL when performing model validation and governance assignments; Performing statistical modeling techniques and quantitative analysis within risk management principles; Addressing reviews and challenges on the effectiveness of model validations from internal auditing and external regulatory exams; Utilizing advanced programming languages, statistical tools, and software, including SAS, R, Python, MATLAB, and C++; Programming numerical, closed-form-based models, analytical calculations, and simulations, and implementing quantitative tests to verify model behavior; and Communicating complex validation findings effectively through written and verbal communication. In the alternative, Employer will accept a Master’s degree, or foreign equivalent, and eight (8) years of experience. Employer will accept a PhD and four (4) years of experience. Employer will accept pre- or post- PhD degree experience. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #26990530. EO Employer.

Wage Range: $211,413.00 to $247,900.00

Job Family Group

Job Family

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. 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.

Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

Automated Processing and AI

We use automated processing, including artificial intelligence, for our legitimate business interests (or our reasonable and appropriate business purposes) to identify and align the candidate's skills and abilities with a specific job opening. Additionally, if you so choose, or consent, we can match your skills and abilities to other suitable roles at Citi.

Importantly, all our hiring processes and decisions, including determining your suitability for a role, are conducted, checked, and decided by individuals. Our automated processing and AI do not involve relying on automatic or autonomous decision-making. Please refer to any Jurisdictional Considerations, with specific provisions for your country (where relevant) for further details.

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