Model Risk Analyst

• Manage model risk across the model lifecycle including model validation, ongoing performance evaluation and annual model reviews
• Manage stakeholder interaction with model developers and business owners during the model lifecycle
• Represent the bank in interactions with regulatory agencies, as required
• Present model validation findings to senior management and supervisory authorities
• Provide effective challenge to model assumptions, mathematical formulation, and implementation
• Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls
• Contribute to strategic, cross-functional initiatives within the model risk organisation

• Experience in a quantitative role in risk management at a financial institution
• Experience in either model development or validation, ideally in market risk or Counterparty Credit Risk
• Good knowledge and understanding of model development and validation testing techniques covering risk models and/or pricing models
• Sound knowledge of financial products, financial mathematics, pricing methodologies, numerical techniques, risk managements, Basel/CCAR regulatory requirements
• Sound knowledge of Calculus, Numerical Analysis, Statistics, and Linear Algebra
• Programming skills: Python, R, C/C++, Matlab, SQL
• Master's degree in a quantitative field (physics, mathematics, statistics, finance, computer science, etc.) with relevant industry experience

Candidates with higher academic qualifications and/or certifications such as a PhD, a second Master's degree, or CFA may be considered if they have less industry experience

• Professional development in a truly global environment
• Inclusive and friendly corporate culture where gender diversity and equality is widely recognized
• A supportive workplace for professionals returning to the office from childcare leave
• An enjoyable and challenging learning path, which leads to a deep understanding of Citi's products and services
• Competitive base salary (annually reviewed)
• Hybrid working model (up to 2 days working at home per week)