First Citizens Bank · 19 hours ago
Sr. Model Risk Analyst, IR & FX Derivatives
United States
Full-time
Remote
Senior Level
$135K/yr - $185K/yr
6+ years expFirst Citizens Bank is seeking a Sr. Model Risk Analyst for their Derivatives Team, which focuses on derivatives valuation and market risk models. The role involves implementing model risk management policies, conducting risk analysis, and developing effective partnerships with various stakeholders.
BankingInsuranceLendingPaymentsWealth Management
Responsibilities
Conducts risk analysis to validate the performance of existing models and leads gap closing projects to include recommended model changes
Reports regularly to the Model Risk Manager on the compliance of the model risk management program, including policies and procedures, with respect to its progress, working issues, and challenges
Develops and maintains effective partnerships with the model analysts, model owners, business level risk management teams and auditors, internal and external
Provides recommendations for the design, development, back testing, implementation and recalibration of models owned by the model development team
Assists in the review and validation of model performance and controls, including establishing the model validation scope, assessment of validation results and directing communication with stakeholders
Assists in the development and maintenance of the model inventory ensuring the inventory is complete, accurate, and consistent with the intent of the Model Validation Policy
Qualification
Required
Bachelor's Degree and 6 years of experience in OR High School Diploma or GED and 10 years of experience in model risk management
Preferred
Master's (MSc) or doctoral (PhD) degree in mathematics, physics, or engineering
Required quantitative skills include probability theory and stochastic processes, stochastic differential equations (SDE), partial differential equations (PDE), numerical analysis, and optimization theory
Strong grasp of the conceptual foundations of derivatives modeling (swaps and options, IR and FX) and counterparty credit risk modeling (PFE and CVA)
Significant hands-on coding experience (C++, Python, Java) with an emphasis on financial modeling and numerical optimization
Familiarity with QuantLib and Open-Source Risk Engine (ORE) is a plus
Experience with vendor systems such as Murex, Chatham, Numerix, and Riskmetrics is a plus
The ideal candidate will have solid communication skills, with a penchant for technical exposition and documentation
Benefits
Benefits are an integral part of total rewards and First Citizens Bank is committed to providing a competitive, thoughtfully designed and quality benefits program to meet the needs of our associates.
Company
First Citizens Bank
First Citizens Bank provides banking services, essential business and professional services, wealth management capabilities, and more.
10001+ employees
H1B Sponsorship
First Citizens Bank has a track record of offering H1B sponsorships. Please note that this does not
guarantee sponsorship for this specific role. Below presents additional info for your
reference. (Data Powered by US Department of Labor)
Distribution of Different Job Fields Receiving Sponsorship
Represents job field similar to this job
Trends of Total Sponsorships
2025 (126)
2024 (115)
2023 (249)
2022 (53)
2021 (12)
2020 (9)
Funding
Current Stage
Public CompanyTotal Funding
$33M2021-05-07Post Ipo Debt· $10M
2018-08-29Post Ipo Debt· $23M
1986-10-31IPO
Leadership Team
C
Craig Nix
Chief Financial Officer
Samantha Bureau - Johnson
SVP & Director, Customer Contact Center
Recent News
2026-01-13
2026-01-06
Company data provided by crunchbase