Model/Analysis/Valid Sr Manager - New York

Compensation

: $77,920.00 - $127,920.00 /year *

Employment Type

: Full-Time

Industry

: Non-Executive Management



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Citibank, N.A. seeks a Model/Analysis/Valid Sr Manager for its Long Island City, New York location.

Duties: Work with Risk Management groups to analyze quantitative models for different risk types including market risk, counterparty credit risk, liquidity risk, and systematic risk, covering various financial products and asset classes. Apply advanced mathematical principles including Calculus, Numerical Analysis, Statistics, Partial Differential Equations, Stochastics Calculus, Time Series Analysis, and Linear Algebra, and pricing methodologies. Apply economic theories, financial industry and market practices. Evaluate model data, assess model assumptions, and check mathematical derivations to ensure the models are technically sound. Use C/C++, SAS, Python, R, Matlab, and SQL programming. Assess correctness of model implementation, perform stress tests, back-testing, and sensitivity to model assumptions and parameters, benchmark against alternative approaches during the validation process. Monitor model usage, model risk rating and limitations, assess compensatory controls implemented to mitigate the risks from model weaknesses. Document validation reports and model performance assessment for model risk management, for management, internal and external audit, and regulatory reviews. Validate and manage models in areas of market risk, counterparty credit risk, liquidity risk, systemic risk, and models used for Basel Risk Weighted Assets reporting, CCAR, Internal Capital Adequacy Assessment Process, and internal risk management processes. Implement model risk management process in compliance with the Supervisory Guidance on Model Risk Management issued by Federal Reserve and OCC and FRTB. Execute Citi?s model risk management procedures and manage model inventory and validation projects through Citi?s model risk management system. Participate in audit reviews and regulatory reviews, and answer technical questions in model validation. Provide guidance to junior validators.

Requirements: Requires a Master?s degree in Mathematics, Statistics, Physics, Finance, Economics, Engineering or related quantitative field and 3 years of experience as Model/Analysis/Validation Sr. Manager, Model/Scoring/Analysis Analyst, or related position involving model development and model validation for risk management in the financial services industry. 3 years of experience must include: Advanced mathematical principles including Calculus, Numerical Analysis, Statistics, Partial Differential Equations, Stochastics Calculus, Time Series Analysis, and Linear Algebra; Applying economic theories, financial industry and market practices; Financial products; Pricing methodologies; Risk management models; C/C++, SAS, Python, R, Matlab, and SQL programming; Financial regulatory requirements and rules including Basel, CCAR, Fundamental Review of Trading Book (FRTB), and Supervisory Guidance on Model Risk Management. Qualified applicants submit resumes referencing job code BL/MAVSM/CZ to Citigroup Recruiting Dept., 3800 Citigroup Center Drive, Tampa, FL 33610. Citigroup is an EOE Employer. This position is eligible for incentives pursuant to Citigroup?s Employee Referral Program. Direct applicants only.

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Grade :

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Time Type :Full time

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Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.

Citigroup Inc. and its subsidiaries ("Citi?) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity CLICK HERE.

To view the "EEO is the Law" poster CLICK HERE. To view the EEO is the Law Supplement CLICK HERE.
To view the EEO Policy Statement CLICK HERE.
To view the Pay Transparency Posting CLICK HERE.

* The salary listed in the header is an estimate based on salary data for similar jobs in the same area. Salary or compensation data found in the job description is accurate.

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