Citibank, N.A. seeks a Model/Anlys/Valid Sr Officer I for its New York, New York location. Duties: Lead development and research for quantitative credit loss models of Held-for-investment (HFI) loans for Comprehensive Capital Adequacy Review (“CCAR”) and internal Global Systemic Stress Testing ('GSST') purposes, utilizing statistical tools and incorporating other models including Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) models. Oversee model overlays including management adjustment overlays and model framework overlays for the wholesale book. Conduct research on Treasury & Trade Solutions (TTS) Trade Finance, and Corporate Equity Derivative (CED) integration into wholesale stress testing framework. Lead library implementation of Held-for-investment (HFI) loans model and integration to technology environment in production. Collaborate with cross-functional teams to integrate new technologies and methodologies into the risk management framework. Take lead on research of statistical methodologies, algorithms, and diagnostic tools for testing model robustness, stability, and performance using statistical tools, including Python, R, and SAS. Develop and maintain technical documentation including project plans, model descriptions, mathematical derivations, data analysis, process, and quality controls. Drive the collaboration with business risk managers and collaborate closely with cross-functional teams in the analysis and interpretation of results, incorporating their feedback as appropriate into models. Apply expertise in the model validation process, as well as internal and external audits and regulatory reviews. Prepare and deliver comprehensive training materials, presentations, and reports on credit risk analytics for technical and non-technical audiences. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols. Requirements: Requires a Master’s degree or foreign equivalent in Mathematics, Financial Mathematics, Computer Information Systems, Econometrics or related field and 5 years of experience as a Model Developer, Risk Modeling Analyst, Model/Analysis/Validation Manager or related position involving model risk management within the global financial services industry. Alternatively, employer will accept a Bachelor’s degree or foreign equivalent in the stated fields and 7 years of the specified progressive, post-baccalaureate experience. 5 years of experience must include: Quantitative Financial Modeling; Python, R, SAS; Statistical Packages and Regression Models; Analysis of wholesale credit products and financial markets; Bank Stress Testing in Wholesale Credit Portfolio; Credit Loss models; and Foundational models including Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) models. 1 year of experience must include: Linux, Virtual Environments and PIP, GIT; Held-for-sale models and Capital Markets Origination models; and Front office pricing packages. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #. EO Employer.

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