Model/Analysis/Validation Officer

Citibank, N.A. seeks a Model/Analysis/Validation Officer for its Tampa, FL location.

Duties: Develop and enhance quantitative models for risk capital and stress testing covering wholesale banking book products. Enhance the firm’s concentration risk capital measurement approach to better capture concentration risk arising from a single name, region, and sector perspective, and streamline the report of Internal Capital Adequacy Assessment Process (ICAAP). Enhance the wholesale risk capital global simulation model to improve model code readability, efficiency, reliability, and portability, and add more functionalities to support ad-hoc stress tests and model results analysis. Support component model parameter recalibration including credit spread, rating migration, probability of default (PD) dynamics, correlation, and loss given default (LGD), and improve loss calculation methodologies to better capture risk associated with different financial products in wholesale banking book including AFS (Asset for sale) and HFI (Hold for investment). Implement wholesale risk capital model libraries and associated analytical tools utilizing programming languages such as C++, Python, R, and Java. Manage code in IT recommended code management system. Support end-to-end model related work including data sourcing, model development documentation, and model implementation in IT system. Work closely with model user and client to support banking book risk capital estimate when making new deals and during annual industry, country level risk capital limit review. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols.

Requirements: Master’s degree, or foreign equivalent, in Mathematics, Statistics, Finance, Economics, or a related quantitative field, and two (2) years of experience in the job offered, or in a related occupation in the financial services industry. Employer will accept pre- or post- Master’s degree experience. Two (2) years of experience must include: Utilizing quantitative financial modeling including Monte Carlo Simulation, numerical methods, statistical and regression modeling to allocate portfolio risk capital to individual obligors and transactions; Working with credit risk, market risk, and financial products to improve loss calculation methodology to better capture current risk associated with different financial products; Utilizing programming in Python and SQL to implement risk capital model code and analytical tools; Utilizing Linux to improve risk capital model code efficiency and portability; Performing bank stress testing to support regulatory report requirement and internal model validation process; Utilizing probability of default, loss given default, and exposure at default modeling to support model parameter calibration; and Utilizing academic writing to clearly document model methodology, model performance and stress test results. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/.  Please reference Job ID #24795397. EO Employer.

Wage Range:                $138,178 to $152,238.77

Job Family Group:        Risk Management

Job Family:                  Risk Analytics, Modeling, and Validation

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Job Family Group:

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Job Family:

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Time Type:

Full time

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Primary Location:

Tampa Florida United States

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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.

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Anticipated Posting Close Date:

Dec 18, 2024

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Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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