Senior Model Validation Lead (2nd LOD) - Credit Risk

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

Benefits offered by this job

Medical, dental & vision coverage

401(k) plan

Paid time off

Job summary

Citi is seeking a Model Validation 2nd LOD Sr. Lead Analyst for its Long Island City, New York location. The role involves rigorous validation of credit derivatives models, reviewing mathematical formulations, and developing benchmarking tools using Python.

You will produce LaTeX reports and communicate risk findings to stakeholders. A hybrid work arrangement may be permitted within commute distance of the Citi worksite.

Qualifications

• Master’s degree in a quantitative field and 3 years of model validation or related experience.
• Experience with Python or R for data analysis and validation.
• Understanding of fixed income and credit-related products.

Responsibilities

• Conduct rigorous model validation of credit derivatives pricing/risk models.
• Review model assumptions and code implementation for soundness and regulatory compliance.
• Develop benchmarking models against front-office quant models and align with product structure.
• Perform stress-testing, back-testing, and scenario analysis for model robustness.
• Validate numerical implementation and compare outputs against independent benchmarks.
• Build Python-based tools to automate testing, benchmarking, and enhance validation transparency.
• Author LaTeX-based validation reports detailing findings, risks, and mitigations.

Skills

Python

R

Model validation

Statistical analysis

Education

Master’s degree in quantitative field

Tools

LaTeX

Job description

Citi is seeking a Model Validation 2nd LOD Sr. Lead Analyst for its Long Island City, New York location. The role involves rigorous validation of credit derivatives models, reviewing mathematical formulations, and developing benchmarking tools using Python.

You will produce LaTeX reports and communicate risk findings to stakeholders. A hybrid work arrangement may be permitted within commute distance of the Citi worksite.