Citi · 1 day ago
Model/Anlys/Valid Sr Analyst
Tampa Florida United States
Full-time
Hybrid
Mid, Senior Level
$113K/yr - $131K/yr
2+ years expCitibank, N.A. seeks a Model/Analysis/Validation Senior Analyst for its Tampa, Florida location. The role involves developing and improving credit exposure simulation and pricing models, conducting rigorous testing, and analyzing methodologies to ensure model validation.
FinanceBankingFinancial Services
Responsibilities
Develop and improve techniques and processes of simulating credit exposure and pricing
Enhance credit exposure simulation and pricing models covering all major asset types, with a focus on simulation of margin requirements, collateral for derivatives and security financing transactions
Examine deficiencies in current models and develop appropriate mathematical and statistical frameworks to address the deficiencies
Develop model testing methodologies and conduct rigorous testing including back-testing and stress testing
Implement the prototype of mathematical framework that can be used in new testing approaches
Analyze testing methodologies and provide model reviewers with a comprehensive explanation of the test results for validation
Evaluate model performance
Collect data from multiple sources using internal libraries, databases, and web applications
Identify data quality issues and clean data
Develop a quantitative library for models used in counterparty credit risk
Develop object-oriented codebase for calibration, simulation, pricing, margin, and testing
Qualification
Required
Requires a Master's degree, or foreign equivalent, in Mathematics, Statistics, or other related quantitative fields and 2 years of experience as a Model/Analysis/Validation Senior Analyst - AVP, Quantitative Analyst, or related position involving credit exposure simulation and pricing models development
Alternatively, employer will accept a Bachelor's degree in the stated fields and 5 years of progressive, post-baccalaureate experience
Full span of experience must include: Utilizing Python and Excel to implement algorithmic models and analyze both their complexity and impact on stakeholders
Technical writing for model documentation and validation
Translating business and regulatory requirements into mathematical formulations
Advanced mathematics including stochastic calculus and linear algebra, data science including statistics and large data analysis, and numerical techniques including numerical algorithms
Client agreements, Credit Support Annexes (CSA) and experience working with International Swaps and Derivatives Association (ISDA) agreements
Analyzing business functionalities and modeling them into mathematical frameworks
Computation of exposure used in regulatory capital calculation and internal risk monitoring
Benefits
Medical, dental & vision coverage
401(k)
Life, accident, and disability insurance
Wellness programs
Paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays
Company
Citi
Citi's mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.
10001+ employees
H1B Sponsorship
Citi has a track record of offering H1B sponsorships. Please note that this does not
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2025 (1386)
2024 (849)
2023 (1375)
2022 (1117)
2021 (876)
2020 (901)
Funding
Current Stage
Late StageLeadership Team
James Monahan
Managing Director / Global Head of Asset Servicing
Naveed Sultan
Managing Director, Chairman, Institutional Clients Group
Recent News
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