Model Validation Analyst (Hybrid)

This is a model validation role in the Market Valuation Models group within Model Risk Management. The successful candidate will support the validation of models used by the business for pricing and risk management, and will gain exposure to a variety of modeling approaches and their implementation. The role provides an excellent learning and development opportunity in terms of subject matter knowledge and practical experience.

Responsibilities

• Contribute to the strategic development of the model benchmarking framework and provide support and assistance to users of the system.
• Support and streamline validation workflows for new and existing models by helping validators automate and run various tests efficiently.
• Manage the end-to-end model review and validation workflows for new and existing models, under the supervision of the validation lead.
• Provide effective challenge on the conceptual and technical soundness of the models design, theory, and framework through various testing.
• Interact with stakeholders such as model developers, model sponsors, model users, and production, for model risk management related activities.
• Assist the validation lead on quarterly and annual model performance review/revalidation, model inventory reconciliation, etc.

Qualifications

• A Master's degree in a quantitative field (statistics, mathematics, physics, or financial engineering).
• Demonstrated understanding of mathematical finance, with experience in interest rate derivative modeling.
• Demonstrated programming skills in languages such as Python, R, SQL, C++, SAS, etc.
• Good communication skills to communicate technical information verbally and in writing to both technical and non-technical audiences.
• Ability to work independently and collaborate with colleagues. Team work and commitment is a must.
• Curiosity, diligence, and a healthy skepticism about received wisdom are desirable.
• Demonstrated project management and organizational skills and ability to handle multiple projects at a time.

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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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