Model Validation 2nd LOD Lead Analyst

Job Description

Citibank, N.A. seeks a Model Validation 2nd LOD Lead Analyst for its Tampa, Florida location.

Duties:
Validate credit risk models using statistical and mathematical tools and economic and finance theories. Test model assumptions and assess model performance. Assess adequacy and relevancy related to modeling data. Design and execute quantitative and statistical testing on model framework and performance. Perform data analysis and quantitative/statistical tests using statistical tools, perform large‑scale analysis with programming languages including Python, Linux, SQL.

Manage model risk across the model life cycle including ongoing performance evaluations, annual model reviews, and monitoring and governance plans. Oversee the portfolios. Manage stakeholder interaction with model developers and business owners during the model life cycle. Provide effective challenge to model assumptions, mathematical formulation, model performance, and implementation. Assess and quantify risk associated with the model due to model limitations, and inform stakeholders of the risk profile and advise on development of compensating controls.

Review and challenge overlays and model change proposals, assess the risk control actions associated with model limitations, business initiatives, operation plans, and regulatory feedback when necessary. Conduct analysis and create technical documentation reports for validation purposes sufficient to meet regulatory guidelines and exceed industry standards. Comply with regulatory examinations, including CCAR and DFA Stress testing exercises by the FRB and OCC.

Present model validation findings to senior management and supervisory authorities. Document model validation outcomes and findings. Communicate results to diverse audiences. Represent the bank in interactions with regulatory agencies as required. Contribute to strategic, cross‑functional initiatives within the model risk organization. Identify modeling opportunities that yield measurable business results. Engage key stakeholders early and often and actively look for opportunities to improve collaboration in achieving common goals.

Develop and validate models applied in climate risk area. Perform and assess model sensitivity to macroeconomic and climate risk drivers. Evaluate the impacts on bank reserves and planning from physical and transitional climate shocks. Evaluate and assess data relevance and methodology soundness of climate risk models, and assess compliance with regulatory requirements of different climate exercises mandated by local regulatory agencies, such as HKMA, OSFI, MAS, and OJK.

Assist in preparing packages to fulfil regulatory climate exercise examinations. Provide guidance and instructions to junior validators for policies and procedures. Lead projects when necessary, and ensure accuracy of validations performed by validators. Perform supervisory and peer reviews.

Requires a Master’s degree, or foreign equivalent, in Mathematics, Statistics, Engineering (any), or a related field and 3 years of experience as a Model/Analysis/Validation Officer, Model/Analysis/Validation Senior Analyst, Research Assistant, or a related position involving credit risk model development, testing, and validation in a global financial services institution. Alternatively, a Bachelor’s degree in the listed fields and 5 years of progressively responsible, post‑baccalaureate experience in the listed positions is accepted.

Full span of experience must include: data analysis, identifying inconsistencies and defining business issues; assessment of model development process including data processing, conceptual soundness, and mathematical formulation; statistical tests of model framework, assumptions, and performance; financial risk management; economic research into macro‑economic risk drivers, evaluation of model performance in various macro‑economic scenarios, and evaluation of macro‑economic impacts to inform capital planning;

proficiency in diagnostic tests, sensitivity, stress testing, backtesting, and impact analysis; proficiency in statistical software such as R and SQL; simulations and…