Model/Analysis/Validation Officer, Citi

Model/Analysis/Validation Officer

Citi

Location:

United States, Tampa

Category:

Finance

Contract Type:

Employment contract

Salary:

122184.00 - 160000.00 USD / Year

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Job Description:

Citibank, N.A. seeks a Model/Analysis/Validation Officer for its Tampa, Florida location. The role involves developing and maintaining models for Derivative Security Financing Transactions (DSFT) commodities collaterals, evaluating thresholds for breaches monitoring, estimating credit exposure factors, and supporting finance teams with regulatory and internal reviews.

Job Responsibility:

Develop and maintain the logic for Derivative Security Financing Transactions (DSFT) commodities collaterals model
Create and evaluate thresholds for breaches monitoring using statistical measures
Estimate credit exposure factor (CEF) for initial margin requirements and potential future exposure of derivative products
Support finance team with CVA RWA value changes investigations
Develop and build a new cross-functional model used to determine the MPOR based on liquidity metrics
Prepare, review and analyze variance analysis report for Advanced Approach Exposure at Default (EAD) and RWA changes
Assist with inquiries from stakeholders and ad-hoc regulatory analysis
Map and maintain derivative products to risk models for pricing and exposure calculation
Coordinate with risk technology, businesses and model validation teams to improve model coverage

Requirements:

Master’s degree, or foreign equivalent in Finance, Financial Risk Management, Economics or related field and 2 years of experience as a Financial Analyst, Model/Analysis/Validation Senior Analyst, Risk Analyst or related position involving Counterparty Credit Risk analysis, and product pricing, trend and variance analysis for the financial services industry
Alternatively, employer will accept a Bachelor’s degree in the stated fields and 4 years of the specified experience
Financial regulations including Basel III and IV Accord Pillars, BASEL III MPOR rules, U.S. Final Rules for counterparty credit risk
CCAR and ICAAP stress testing frameworks and regulatory capital reserves
Python programming language
Simulation and forecasting of financial variables using Monte-Carlo simulation
Regression analysis to develop and maintain configurations for quantitative models
Binominal pricing method and Black-Scholes approach for trade valuation
Derivative Security Financing Transactions (DSFT) and Over-the-Counter (OTC) trading strategies and derivative products such as swaps, options, futures, and forwards
Exposure at Default (EAD) estimation and Credit Valuation Adjustment Risk Weighted Asset (CVA RWA) approach calculation framework for regulatory capital calculations
Liquidity Risk and Counterparty Credit Risk management including methodologies for counterparty risk models and market risk Value at Risk (VaR) methodology
Quantitative models for counterparty credit risk pricing and simulation

What we offer:

Medical, dental & vision coverage
401(k)
Life, accident, and disability insurance
Wellness programs
Paid time off packages including vacation, sick leave, and paid holidays

Additional Information:

Job Posted:

March 22, 2025

Expiration:

April 29, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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