Model Validation 2nd LOD Sr. Lead Analyst

About the role

Citibank, N.A. seeks a Model Validation 2nd LOD Sr. Lead Analyst for its Long Island City, NY location.

Responsibilities

• Conduct validations of credit risk models used across wholesale banking portfolios, including models for commercial real estate CCAR, AFS/HTM direct obligations stress testing, RWA estimation, Wholesale Basel parameter calculations, EBA stress testing, ICAAP, and climate stress testing.
• Assess and test modeling assumptions to ensure that inherent model assumptions are aligned with model methodology theory and their design objectives and are fit for their intended purpose and use.
• Conduct validation testing and guidance that align with regulatory requirements outlined in Basel/CCAR/CECL/IFRS9/ICAAP/EBA and other regulations including Citi internal Model Risk Management policy.
• Assess the overall model risk and determine the Model Risk Rating.
• Conduct thorough reviews of validation documentation, including Model Validation Reports, Ongoing Monitoring Conclusion Document, and Annual Model Review.
• Review and assess the validation outcomes in accordance with Model Risk Management Policies and Procedures.
• Propose remediation plans for model limitations identified during the validation process and document remediation timelines in coordination with stakeholders.
• Review and assess evidence and accept or challenge proposals to close action items for model risk mitigation.
• Prepare and address internal and external federal exams on model validations.

Requirements

• Bachelor’s degree, or foreign equivalent, in Statistics, Mathematics, Finance, Economics, or a related field, and ten (10) years of experience in the job offered or in a related quantitative occupation.
• Ten (10) years of experience must include:
  • Conducting credit risk model validation within Wholesale Portfolios Basel Parameter models, CCAR, CECL/IFRS9, and Internal Capital Adequacy Assessment Process (ICAAP) models;
  • Applying the regulatory requirements outlined in CCAR, Basel rules, EBA stress testing, ICAAP, IFRS 9, and CECL when performing model validation and governance assignments;
  • Performing statistical modeling techniques and quantitative analysis within risk management principles;
  • Addressing reviews and challenges on the effectiveness of model validations from internal auditing and external regulatory exams;
  • Utilizing advanced programming languages, statistical tools, and software, including SAS, R, Python, MATLAB, and C++;
  • Programming numerical, closed-form-based models, analytical calculations, and simulations, and implementing quantitative tests to verify model behavior;
  • Communicating complex validation findings effectively through written and verbal communication.
• In the alternative, Employer will accept a Master’s degree, or foreign equivalent, and eight (8) years of experience.
• Employer will accept a PhD and four (4) years of experience.
• Employer will accept pre- or post- PhD degree experience.

Skills

• Wholesale Lending Operations Management

Benefits

• Medical, dental & vision coverage
• 401(k)
• Life, accident, and disability insurance
• Wellness programs
• Paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays

Pay

Wage Range: $211,413.00 to $247,900.00

Schedule

40 hrs./wk. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with C