1+ months

Risk Models Validation Senior Manager

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: 18039317


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 Propositionexplain what we do and Citi Leadership Standards explain 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.
We are looking for model risk senior 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. The main focus of this position will be structured products such as RMBS, CMBS, ABS, and CLO.
Our rigorous validations cover both technical and functional aspects of Model Risk Management, including the technical assessment of adequacy of the modeling data and assumptions, conceptual soundness and mathematical formulation, and model performance, as well as the functional assessment of using the model for regulatory and business applications.  Job responsibilities include performing validation tests, discussing findings with internal and external stakeholders, writing validation reports, and managing model risk.
The role entails heavy communication and synchronization with various modelling group within Citi and external vendors. As needed, the role might also need interaction with government regulatory agencies such as the OCC (for Basel SFA models) and FRB (for OTTI and OCI losses on the AFS/HTM portfolio)


Knowledge /Experience

  • Excellent knowledge and understanding of a variety of model development and validation testing techniques covering risk models. Including but not limited to linear regression models, logistic regression, generalized additive models, decision and regression trees, information gain and related segmentation statistical tools. Previous familiarity with prepayment, default, delinquency, loss severity modeling for structured products is preferred.
  • Deep understanding of financial products, pricing methodologies, risk management, Basel/CCAR regulatory requirements. In particular, understanding of securitization, risk evaluation of a variety of collateral types (consumer mortgages, commercial mortgages, auto loans, student loans, corporate leveraged loans, ).
  • Over 6 years in a quantitative role in risk management at a financial institution with experience in either model development or validation. A background in the securitized products area or consumer products analytics is desirable.
  • Strong communication skills both verbal and written.
  • Demonstrated project management skills.
  • Graduate degree (Master's Required, preferable Ph.D.) in a highly quantitative field (e.g. Physics, Mathematics, Statistics, Finance, Economics or Engineering).
  • Solid writing skills. Publications in peer-reviewed journals are considered as good evidence.
  • Programming skills:  R, SQL and general RDBMS systems, C/C++, SAS, Python, Matlab, Java, XML. Familiarity with KDB database or similar flavors is desired.


Posted: 2018-06-12 Expires: 2019-01-09

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Risk Models Validation Senior Manager

Queens, NY

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