Model Validation 2nd LOD Sr. Lead Analyst
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What you'll do
- Conduct rigorous model validation of credit derivatives pricing/risk models.
- Scrutinize mathematical formulations in Model Development Documents and provide evidence-based challenges to model assumptions, conceptual soundness, model performance, and/or limitations.
- Critically review model assumptions, mathematical frameworks, and code implementation for theoretical soundness, numerical accuracy, and regulatory compliance.
- Develop benchmarking models against front-office quant models, ensuring alignment with product structure and market behavior or use alternative approaches to cross-check outputs against primary models.
- Perform stress-testing, back-testing, and scenario analysis to evaluate model robustness under varying market conditions.
- Validate numerical implementation and compare outputs against independent benchmarks.
- Regularly monitor model performance and communicate the model risk profile to relevant stakeholders.
- Build Python-based tools to automate independent testing, benchmarking, and enhance validation transparency.
- Author LaTeX-based validation reports detailing findings, risks, and mitigation strategies for model developer and other stakeholders in compliance with internal model risk management policies, procedures, and regulatory guidelines.
What they're looking for
- Requires a Master’s degree, or foreign equivalent, in Mathematical Finance, Financial Engineering, Applied Mathematics, Statistics, Computational Finance, Physics or related quantitative field
- 3 years of experience as a Capital Markets Researcher, Model/Analysis/Validation Officer, Quantitative Analyst, Credit Risk Modeler or Researcher, Financial Engineer, Quantitative Developer, Derivatives Trader, Data Scientist, PhD Researcher, or related position involving model validation, quantitative analysis and model development
- Quantitative model development, model validation, and financial model assessment
- Developing and using analytical tools to support model validation and financial analysis
- Python or R for data analysis, model validation, and work efficiency improvements
- Understanding of fixed income instruments and credit-related products including valuation concepts and risk characteristics
- Applying statistical and numerical techniques for model validation or financial analysis
- Documenting analytical processes, model validation results, and data assessments
- Preparing validation reports and interacting with key stakeholders
Summarised by NextRaise from the employer’s description, which follows in full below.
Full description from employer
Citibank, N.A. seeks a Model Validation 2nd LOD Sr. Lead Analyst for its Long Island City, New York location.
Duties: Conduct rigorous model validation of credit derivatives pricing/risk models. Scrutinize mathematical formulations in Model Development Documents and provide evidence-based challenges to model assumptions, conceptual soundness, model performance, and/or limitations. Critically review model assumptions, mathematical frameworks, and code implementation for theoretical soundness, numerical accuracy, and regulatory compliance. Develop benchmarking models against front-office quant models, ensuring alignment with product structure and market behavior or use alternative approaches to cross-check outputs against primary models. Perform stress-testing, back-testing, and scenario analysis to evaluate model robustness under varying market conditions. Validate numerical implementation and compare outputs against independent benchmarks. Regularly monitor model performance and communicate the model risk profile to relevant stakeholders. Build Python-based tools to automate independent testing, benchmarking, and enhance validation transparency. Author LaTeX-based validation reports detailing findings, risks, and mitigation strategies for model developer and other stakeholders in compliance with internal model risk management policies, procedures, and regulatory guidelines. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.
Requirements: Requires a Master’s degree, or foreign equivalent, in Mathematical Finance, Financial Engineering, Applied Mathematics, Statistics, Computational Finance, Physics or related quantitative field and 3 years of experience as a Capital Markets Researcher, Model/Analysis/Validation Officer, Quantitative Analyst, Credit Risk Modeler or Researcher, Financial Engineer, Quantitative Developer, Derivatives Trader, Data Scientist, PhD Researcher, or related position involving model validation, quantitative analysis and model development. Full span of experience must include: Quantitative model development, model validation, and financial model assessment; Developing and using analytical tools to support model validation and financial analysis; Python or R for data analysis, model validation, and work efficiency improvements; Understanding of fixed income instruments and credit-related products including valuation concepts and risk characteristics; Applying statistical and numerical techniques for model validation or financial analysis; Documenting analytical processes, model validation results, and data assessments; and Preparing validation reports and interacting with key stakeholders. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #26988847. EO Employer.
Wage Range: $207,600 to $247,900
Job Family Group: Risk Management
Job Family: Model Validation
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Job Family:
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Time Type:
Full time------------------------------------------------------
Primary Location:
Long Island City New York United States------------------------------------------------------
Primary Location Full Time Salary Range:
In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.
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Most Relevant Skills
Wholesale Lending Operations Management.------------------------------------------------------
Other Relevant Skills
For complementary skills, please see above and/or contact the recruiter.------------------------------------------------------
Anticipated Posting Close Date:
Oct 30, 2026------------------------------------------------------
Automated Processing and AI
We use automated processing, including artificial intelligence, for our legitimate business interests (or our reasonable and appropriate business purposes) to identify and align the candidate's skills and abilities with a specific job opening. Additionally, if you so choose, or consent, we can match your skills and abilities to other suitable roles at Citi.
Importantly, all our hiring processes and decisions, including determining your suitability for a role, are conducted, checked, and decided by individuals. Our automated processing and AI do not involve relying on automatic or autonomous decision-making. Please refer to any Jurisdictional Considerations, with specific provisions for your country (where relevant) for further details.
Illinois residents – AI Notice and Right
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Company
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