Senior Lead Model Validation Analyst — Credit Risk

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. 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.