Model Risk Analyst, Assistant Vice President

Team/Role Overview
You will work in the Model Risk Management Group as a Model Risk Manager and Validator for validating Market Risk and Counterparty Credit Risk models.
You will play an essential part in building up the local model risk management expertise in Dublin we have to prove to the local regulator.
This is necessary to ensure the models can be used to determine the legal entity's regulatory capital requirements as well as related internal risk management measures.
This role offers learning and growth opportunities from both a technical and leadership perspective.
In particular, you will gain knowledge on all market risk and counterparty credit risk models and will be exposed to a variety of modelling approaches, extensive product knowledge among all asset classes, deep understanding of new regulatory requirements, risk management expertise and global market knowledge.
What you'll do
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.
Understand the significant conduct risks specific to their product or function and individual role at Citi and comply with the roles and responsibilities defined by Citi's policies and subordinate policy documents on conduct risk management.
What we'll need from you
Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation, ideally in the area of market risk (e.g. familiarity with VaR/ES models, FRTB regulations) or Counterparty Credit Risk.
Good knowledge and understanding of a variety 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 management, 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.
What we can offer you
A chance to develop in a highly innovative environment where you can use the newest technologies in a top-quality organizational culture.
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.
We work hard to have a positive financial and social impact on the communities we serve.
In turn, we put our employees first and provide the best-in-class benefits they need to be well, live well and save well.
By joining Citi Dublin, you will not only be part of a business casual workplace with a hybrid working model up to 2 days working at home per week, but also receive a competitive base salary (which is annually reviewed) and enjoy a whole host of additional benefits that support you and your family to be well, live well and save well.
Discover more here.
Alongside these benefits, Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day.
We want the best talent around the world to be energised to join us, motivated to stay, and empowered to thrive.
Sounds like Citi has everything you need?
Then apply to discover the true extent of your capabilities.
Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.
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