Credit Risk Model Validation Analyst, Loss & Balance Forecasting
A validation and analytics role covering credit risk models, loss given default studies and early warning tools for corporate and consumer lending. It sits in Citi's model validation function, which supports risk policy decisions.
What you’d work on
Our reading of the posting: what a new hire in this role would most likely spend their first months on.
- Validate obligor credit risk models and early warning tools
- Analyse data for loss given default studies
- Maintain default, rating migration and usage given default data and transition matrices
- Spot gaps in risk policy and propose fixes
- Document validation work so it can be reproduced and audited
What they ask for
Required
- 2-4 years in risk, analytics or a quantitative field
- Data analysis in Excel, R or Python
- Turning analysis into recommendations
- Spotting inconsistencies in data
- Clear communication
- Master's or university degree, or equivalent experience
Preferred
- Quantitative finance or model validation background
- Building or validating risk models
- Early warning tool experience
- SAS
- Education
- Master's or university degree, or equivalent experience
- Experience
- 2-4 years in risk or analytics
- Languages and tools
- Markets
- credit
How to prepare
- Build a logistic PD model on public loan data and check its discrimination and calibration
- Estimate a rating transition matrix from a panel of defaults
- Learn how LGD is modelled and why it is hard to estimate
- Practise writing a short, reproducible validation note
What to study
- Quantitative Risk Management
- Probability, Statistics and Financial Data
- Python and Data Primer
- Econometrics and Financial Time Series
The Model Validation Quant roadmap sets out the stages for this kind of role, with free resources for each.
Open the roadmapApply
Read the full posting on Citi’s site before applying: requirements, location and pay can change after we check them.
View the posting on Citi’s site ↗
SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Citi and doesn’t handle applications.