Model - Analysis - Validation Officer

Model/Analysis/Validation Officer

Location: FL-Tampa

Job Req Id:

25908821

Job Type:

Hybrid

Job Description:

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Job Overview

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

Duties: Develop, enhance and validate methods of measuring and analyzing counterparty credit risk by means of statistical modeling, data analysis and Monte Carlo simulation. Conduct rigorous performance tests of all counterparty credit risk models in production through back-testing, impact analysis, statistical analysis and other quantitative measures using hypothetical testing, regression and statistical inference. Apply Monte Carlo methods for counterparty credit risk estimation. Develop models of stochastic evolution of financial risk factors. Apply statistical hypothesis testing framework to benchmark simulated risk factors against historical data. Perform time series analysis for calibration of risk factor simulation based on the knowledge in time series analysis and convex optimization. Track and understand changes in derivatives pricing models in order to properly incorporate them in counterparty credit risk simulation, leveraging knowledge of financial derivative pricing, stochastic process, and stochastic calculus. Design computer code for performance and production testing of counterparty risk models using Python and shell script programming. Maintain efficient communication with all model stakeholders including business, validation, governance and IT. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements: Requires at least a Master’s degree, or foreign equivalent, in Applied Mathematics, Computational Mathematics, Statistical Data Science, Applied Mathematics, Computer Science, or related quantitative field and 1 year of experience as a Model/Analysis/Validation Senior Analyst, Quantitative Analyst, Statistician, or related position involving risk models development, testing and validations in a global financial services institution. Alternatively, employer will accept a Bachelor’s degree in the stated fields and 3 years of the specified progressive, post-baccalaureate experience. Full span of experience must include: Financial counterparty credit risk (CCR) analysis and modeling; U.S. and international regulations pertaining to counterparty credit risk management;  Finance derivative pricing, stochastic process, and stochastic calculus; CCR risk factor simulation using applied mathematics and numerical techniques, including convex optimization; Statistical modeling and numerical simulation, including Monte Carlo simulation; CCR model ongoing monitoring by hypothetical testing and data analysis; Model development, analysis and performance reporting using Python, SQL; Time series analysis and statistical inference; Code writing, testing and validation in support of full cycle of model development using Python; Linux; Shell script programming. 

Wage Range:                $134,706 to $160,000

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. 

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Most Relevant Skills

Please see the requirements listed above.

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Other Relevant Skills

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

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Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.