Model Validation 2nd LOD Sr. Analyst

Job description

Citibank, N.A. seeks a Model Validation 2nd LOD Sr. Analyst for its Irving, Texas location. Duties: Work on model validation projects with an emphasis on performance assessment, leveraging current techniques and model risk management requirements. Manage models through entire model life cycle and perform research on model management enhancement with regards to testing requirements. Assess model risk by reviewing model assumptions, examining model inputs, conducting data transformation, performing diagnosis testing, verifying statistical formulations, checking algorithms and programs, developing alternative models to perform statistical testing, and writing validation reports. Fit macroeconomic variables from the Federal Reserve in models in order to forecast balance or loss. Assess model concepts as well as performance of financial and risk management models under varied market and economic conditions, including extreme stress market conditions. Perform continuous research on sophisticated statistical methods and testing standards. Perform sensitivity tests and stress tests in order to meet or exceed Federal Reserve requirements. Work closely with model developers and model sponsor...