The Model Validation 2nd LOD Sr. Lead Analyst at Citibank is responsible for conducting rigorous validation of credit derivatives pricing and risk models. This role involves scrutinizing mathematical formulations and model assumptions to ensure theoretical soundness and regulatory compliance. The analyst will develop benchmarking models and perform stress-testing and scenario analysis to evaluate model robustness. Additionally, the position requires building Python-based tools for automation and authoring detailed validation reports.

• Requires a Master’s degree in Mathematical Finance, Financial Engineering, Applied Mathematics, Statistics, Computational Finance, Physics or a related quantitative field.
• 3 years of experience in roles such as Capital Markets Researcher, Model/Analysis/Validation Officer, or Quantitative Analyst.
• Experience in quantitative model development, model validation, and financial model assessment.
• Proficiency in Python or R for data analysis and model validation.
• Understanding of fixed income instruments and credit-related products.

• Conduct rigorous model validation of credit derivatives pricing and risk models.
• Scrutinize mathematical formulations in Model Development Documents.
• Develop benchmarking models against front-office quant models.
• Perform stress-testing, back-testing, and scenario analysis.
• Build Python-based tools to automate independent testing and enhance validation transparency.
• Author LaTeX-based validation reports detailing findings and risks.

• Citi offers a comprehensive benefits package including competitive pay, stock programs, healthcare coverage, retirement plans, paid time off, parental leave, and programs supporting employee wellbeing and professional development.