The Risk Analytics, Modeling and Validation role involves the validation of quantitative models such as those used to measure and analyze wholesale credit risk and climate risk, or other quantitative models. Individuals in this role will validate models such as those used to generate wholesale credit risk rating, used for portfolio management or other usages. They will conduct review and challenge on model data, model framework, model assumptions, model performance metrics and thresholds, model implementation, model ongoing monitoring plan, etc. This role is vital to the company as it provides a scientific and systematic approach to assessing and mitigating risks, thereby ensuring the company's financial stability, protecting its assets, and supporting its overall business strategy.
Responsibilities:
- The role is a Model Validator role.
- Perform model validations, annual model reviews, ongoing monitoring reviews and model limitation reviews.
- Provide effective challenge to the model development process in accordance with the Citi Model Risk Management (MRM) Policy.
- Conduct review and challenge on model data, model framework, model assumptions, model performance metrics and thresholds, model implementation, model ongoing monitoring plan, model limitation, etc., and document the validation process and results in validation reports.
- Evaluate testing approach and results for individual models in accordance with MRM Policy.
- Contribute to regulatory and internal audit related responses
- Collaborate with other teams within Risk and Business to facilitate compliance with internal policies, procedures, and guidance and regulatory guidance.
- Assist with preparing the reports and other meeting materials to MRM senior management.
- Support the process of designing, developing, delivering, and maintaining best-in-class model validation process standards, guidance, practices, templates, and other documentation.
- Is an enthusiastic and early adopter of change; takes ownership, and stay positive during uncertainty.
- Demonstrates and inspires curiosity in seeking new ways to overcome challenges; actively applies learning from failures.
- Challenges self and others to seek out and communicate alternative views; welcomes diverse ideas to improve outcomes.
- Acts as a change catalyst by identifying and helping others see where new ideas could benefit the organization.
- Proactively seeks to understand and act in alignment with organizational decisions; contribute to team and enterprise success
- Focuses on highest-priority work aligned to business goals; effectively manage competing priorities.
- Proactively identifies opportunities to streamline work; creates process improvements that enhance efficiency for self and the team.
- Takes personal accountability for escalating, identifying, and managing potential risk; implements controls that enhance the model validation process and operational effectiveness.
- Anticipates problems and proactively identifies solutions that address the root causes and result in meaningful improvements.
- Sets high expectations and invests the necessary effort to deliver excellence and exceed performance goals.
- Engages key stakeholders early and often and actively looks for opportunities to improve collaboration in achieving common goals.
- Proactively seeks out opportunities to volunteer in Citi programs that support the community; advocates for solutions that meet the needs of Citi’s clients and the community.
- Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.
Qualifications:
- 0 to 8 years of experience or equivalent
- Experience in quantitative finance, risk management, analytics, model development or model validation is preferred.
- Strong quantitative skills such as solid knowledge of, statistics, mathematics, econometrics, time series analysis, finance, accounting.
- Strong analytic, creative thinking, and problem-solving abilities. Ability to evaluate complex model risk issues.
- Proficiency in data analysis and interpretation. Ability to identify inconsistencies in data or results and define business issues.
- Excellent communication skills. Ability to formulate findings clearly and concisely in a written form and good verbal communication skills.
- Excellent writing skills on writing comprehensive technical model validation reports. Adept and meticulous at analysis and documentation of results.
- Ability to work effectively in a team and independently. Excellent partnership and teamwork skills.
- Strong project management and time management skills, with the ability to manage multiple tasks and deadlines. Work well under pressure, and deliver results under tight deadlines.
- Knowledge of financial markets and products. Good knowledge on financial statement analysis, accounting is a plus. FRM, CPA, CFA is a plus.
- Programming skills in languages such as Python, R, SAS, MATLAB, VBA or other coding language as need.
- Ability to influence decisions and provide expert advice.
- Ability to formulate recommendations on policies, procedures, or practices.
- Attention to detail and the ability to make informed judgments based on information.
Education:
Master's degree, or PhD degree, or equivalent experience
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Job Family Group:
Risk Management------------------------------------------------------
Job Family:
Risk Analytics, Modeling, and Validation------------------------------------------------------
Time Type:
Full time------------------------------------------------------
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