in New Castle County, DE
Job DescriptionCitibank, N.A. seeks a Model/Analysis/Validation Senior Officer for its Wilmington, Delaware location.
Duties: Perform risk modeling governance activities for the full model lifecycle from validation, implementation and performance monitoring for Citi's Model Monitoring, Governance & Control team. Validate and develop statistical risk modeling solutions in support of loss mitigation operations and profitable growth. Apply understanding of nuances involved in predictive model development and validation including types of techniques used in modeling data, input variables, strategies, and economic circumstances involved in building the model and products on which the model is used to make recommendations for risk management. Conduct analysis to ensure model is performing as expected. Build automated Statistical Analysis Software (SAS) codes to calculate validation metrics and monitor reports in line with metrics defined by Model Risk Management team. Use statistical modeling including Grid and Bayesian optimization techniques and analytics to provide meaningful insights on model performance and recommendations on usage of models. Study reports of model performance trends and check if models breach performance trigger benchmarks. Explain diverging and non-conforming trends by independently analyzing various aspects of models. Analysis includes quantitatively analyzing changes to model input, underlying population, changes in usage mix. Understand the effect of model performance on overall business by quantifying model changes and evaluate business impact. Apply mathematical principles of machine learning models and technologies to write logic to develop, validate and implement models, and assess the immediate model outcome for accuracy and separately evaluate results. Ensure that statistical and financial models are compliant with internal and federal regulatory guidelines.
Requirements: Requires a Bachelor’s degree in Statistics, Mathematics, Engineering, Economics, or related quantitative field and 6 years of progressive, post-baccalaureate experience as AVP, Sr. Manager or related position involving model development and validation for the financial services industry. 6 years of experience must include: SAS programming; Predictive model development and validation; Analytics to study model performance trends; Credit risk management; Mathematical principles of machine learning models and techniques; and Grid and Bayesian optimization techniques. Qualified applicants submit resumes referencing job code BL/MAVSO/AS to Citigroup Recruiting Dept., 3800 Citigroup Center Drive, Tampa, FL 33610. Citigroup is an EOE Employer. Direct applicants only.