1+ months
2018-06-122018-09-09

Risk Models Validation Manager

Citigroup
Queens, NY
  • Primary Location: United States,New York,Long Island City
  • Education: Master's Degree
  • Job Function: Risk Management
  • Schedule: Full-time
  • Shift: Day Job
  • Employee Status: Regular
  • Travel Time: No
  • Job ID: 18012640

Description


About Citi:
Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.
Citis Mission and Value Propositionexplains what we do and Citi Leadership Standardsexplain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients and the publics trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.
Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.
Position Objective:

We are looking for model risk manager and validator for validating Risk models, which includes Credit Risk, Market Risk, Counterparty Credit Risk, Structured Risk, Operational Risk, and Liquidity Risk models for assessing the adequacy of risk capital and estimated losses for regulatory or business requirements.

Our rigorous validations including the technical assessment of adequacy of the modeling data and assumptions, conceptual soundness and mathematical formulation, and model performance, as well as the assessment of using the model for regulatory and business applications. Responsibilities of this position include performing validation tests, discussing findings with internal and external stakeholders, writing validation reports, and managing model risk.

Job Responsibilities:
  • Manage model risk across the model lifecycle including model validation, ongoing performance evaluation and annual model reviews.
  • Provide guidance to junior validators as and when necessary
  • Manage stakeholder interaction with model developers and business owners during the model lifecycle.
  • Represent the bank in interactions with regulatory agencies, as required.
  • Present model validation findings to senior management and supervisory authorities.
  • Provide effective challenge to model assumptions, mathematical formulation, and implementation
  • Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
  • Contribute to strategic, cross-functional initiatives within the model risk organisation.

Qualifications


  • Minimum of Masters degree in a quantitative field (physics, mathematics, computer science, etc.) with 6+ years of relevant experience.
  • Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second Masters degree, CPA or CFA
  • Sound knowledge of Calculus, Numerical Analysis, Statistics, and Linear Algebra.
  • Good understanding of financial products, pricing methodologies, risk management, Basel/CCAR regulatory requirements.
  • Statistical modeling and database experience or training in the area of risk management.
  • Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models.
  • Strong communication skills in both verbal and written are required as the work involves frequent interaction with model developers, risk managers, other stakeholders as well as internal / external audit and regulators.
  • Ability to work independently as well as collaborate with colleagues.
  • Solid writing skills. Publications in peer-reviewed journals are considered as good evidence.
  • Programming skills: C/C++, SAS, Python, R, Matlab, Java, Oracle and SQL.
  • Curiosity, diligence, and a healthy skepticism about received wisdom are all desirable;
  • Team work and commitment a must.

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Risk Models Validation Manager

Citigroup
Queens, NY

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