Market Risk Monitoring Specialist - VP (Hybrid)

The Model/Anlys/Valid  Officer is a strategic professional who stays abreast of developments within own field and contributes to directional strategy by considering their application in own job and the business. Recognized technical authority for an area within the business. Requires basic commercial awareness. There are typically multiple people within the business that provide the same level of subject matter expertise. Developed communication and diplomacy skills are required in order to guide, influence and convince others, in particular colleagues in other areas and occasional external customers. Significant impact on the area through complex deliverables. Provides advice and counsel related to the technology or operations of the business. Work impacts an entire area, which eventually affects the overall performance and effectiveness of the sub-function/job family.

Responsibilities:

• Develops, enhances, and validates the methods of measuring and analyzing risk, for all risk types including market, credit and operational. Also, may develop, validate and strategize uses of scoring models and scoring model related policies.
• Manages model risk across the model life-cycle including model validation, ongoing performance evaluation and annual model reviews.
• Produces analytics and reporting used to manage risk for Citi's operations.
• Translates operational requests from the business into programming and data criteria and conduct systems and operational research in order to model expected results.
• Assists in the development of analytic engines for business product lines.
• Communicates results to diverse audiences.
• Conducts analysis and packages it into detailed technical documentation report for validation purposes sufficient to meet regulatory guidelines and exceed industry standards.
• Participates on teams to solve business problems.
• Identifies modeling opportunities that yield measurable business results.
• Provides guidance to junior validators as and when necessary.
• Manages stakeholder interaction with model developers and business owners during the model life-cycle.
• Represents the bank in interactions with regulatory agencies, as required.
• Presents model validation findings to senior management and supervisory authorities.
• Provides effective challenge to model assumptions, mathematical formulation, and implementation.
• Assesses and quantifies model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
• Contributes to strategic, cross-functional initiatives within the model risk organization.
• Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.

Recommended Qualifications:

• 6-10 years experience
• Proficient in Python
• Consistently demonstrates clear and concise written and verbal communication skills
• Self-motivated and detail oriented
• Demonstrated project management and organizational skills and capability to handle multiple projects at one time .
• Practical experience in metric, deepdive, report, and dashboard creation using app creation software, generative AI, and cloud computing / analytics is a plus
• Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation is a plus
• Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models.

Education:

• Bachelor’s/University degree or equivalent experience, potentially Masters degree

For the Manila Modeling team specifically, this role is a senior technical leader within Market Risk Modeling responsible for the governance, monitoring, analysis, and strategic oversight of Citi's Historical VaR (HVaR), Risk-Based VaR, Full-Revaluation VaR, and Market Factor Scenario Generation models. The role serves as a key interface between model development, Model Risk Management, Risk IT, Market Risk, validation teams, audit, and senior management, ensuring models remain fit for purpose, well governed, operationally sound, and aligned with evolving regulatory expectations. The candidate is also expected to contribute to model metric exploration through statistical and risk management knowledge of a VAR and ES-based risk measurement system that is fit for use for FRTB standards and US implementation.

Responsibilities (Manila-specific):

• Leads the governance, monitoring, and performance oversight of a global portfolio of market risk models, developing model health frameworks, risk indicators, and management reporting that provide transparency into model performance, data quality, operational stability, and emerging model risks.
• Drives strategic enhancements to model monitoring capabilities through automation, analytics, dashboarding, and AI-enabled reporting, improving the efficiency, scalability, and effectiveness of model governance processes.
• Serves as a senior liaison across Model Risk Management, Market Risk, Risk Technology, Audit, and regulatory stakeholders, translating complex quantitative findings into actionable insights, remediation plans, and executive-level recommendations.

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