Fiscal Year

2020

Case Number

A-19364-00865

Case Status

Certified

Received Date

2020-02-27

Decision Date

2020-06-22

Refile

N

Original File Date

2020-01-01 08:27:29

Previous SWA Case Number State

Schedule A Sheepherder

N

Employer Name

CITIBANK, N.A

Employer Name Slug

citibank-na

Employer Address 1

388 GREENWICH STREET

Employer Address 2

Employer City

NEW YORK

Employer City Slug

new-york

Employer State

NEW YORK

Employer State Slug

new-york

Employer Country

UNITED STATES OF AMERICA

Employer Postal Code

10013

Employer Phone

800-285-3000

Employer Number of Employees

1794

Employer Year Commenced Business

1988

NAICS Code

523110

FW Ownership Interest

N

Employer Contact Name

Antonio Allam

Employer Contact Address 1

388 Greenwich St., 17th Fl

Employer Contact Address 2

Employer Contact City

New York

Employer Contact State/Province

NEW YORK

Employer Contact Country

UNITED STATES OF AMERICA

Employer Contact Postal Code

10013

Employer Contact Phone

212-657-0896

Employer Contact Email

antonio.allam@citi.com

Agent Attorney Name

Colleen A Klanchnik

Agent Attorney Firm Name

Gibney, Anthony and Flaherty, LLP

Agent Attorney Phone

2127059829

Agent Attorney Address 1

Gibney Anthony Flaherty LLP

Agent Attorney Address 2

665 5th Ave.

Agent Attorney City

New York

Agent Attorney State/Province

NEW YORK

Agent Attorney Country

UNITED STATES OF AMERICA

Agent Attorney Postal Code

10022

Agent Attorney Email

cklanchnik@gibney.com

PW Track Number

P10019281075530

PW SOC Code

15-2021

PW SOC Title

Mathematicians

PW Skill Level

Level III

PW Wage

87818.00

PW Unit of Pay

Year

PW Wage Source

OES

PW Determination Date

2020-02-06

PW Expiration Date

2020-06-30

Wage Offer From

146642.00

Wage Offer To

0.00

Average Salary

146642.00

Wage Unit of Pay

Year

Worksite Address 1

14025 Riveredge Drive

Worksite Address 2

Worksite City

Tampa

Worksite City Slug

tampa

Worksite State

FLORIDA

Worksite Postal Code

33637

Job Title

Model/Analysis/Valid Group Manager

Job Title Slug

modelanalysisvalid-group-manager

Minimum Education

Doctorate

Major Field of Study

Math,Stats,Theoretical Physics,Engineering,Quantitative Finance or rel quantitative fld

Required Training

N

Required Experience

N

Required Experience Months

Accept Alternative Field of Study

N

Accept Alternative Major Field of Study

Accept Alternative Combination

Y

Accept Alternative Combination Education

Master's

Accept Alternative Combination Education Years

6

Accept Foreign Education

Y

Accept Alternative Occupation

Y

Accept Alternative Occupation Months

48

Accept Alternative Job Title

QuantAnlyst,Model Validatn Anlyst or rel invlvng fincl math,modelingmodel validatn for deriv pricng

Job Opportunity Requirements Normal

Y

Foreign Language Required

N

Specific Skills

Requires Ph.D. degree in Mathematics, Statistics, Theoretical Physics, Engineering, Quantitative Finance or related quantitative field plus 4 years of experience as a Quantitative Analyst, Model Validation Analyst or related position involving financial mathematics, modeling, and model validation for derivative pricing. Alternatively, employer will accept a Masters degree in the stated fields and 6 years of the specified experience. 4 years of experience must include Model validation using stochastic calculus, arbitrage pricing theory, and Markov Functional models; Ito calculus, probability theory, arbitrage pricing theory and application to pricing derivatives, choice of numeraire and change of measure; Application of algorithms and numerical methods including Linear algebra and matrix decomposition methods, random and quasirandom number generation and Monte Carlo pricing, sampling, root finders Brent, Newton, solvers LevenbergMarquardt and quadratic optimization; Assessing modeling approaches and explaining model calibration to market observable products; Assessing model weaknesses and limitations in derivative pricing; Flow interest rate derivative products and pricing techniques including bonds, swaps, caps, floors and swaptions; Exotic interest rate derivative products and pricing techniques including multi currency Bermudan callable swaps, multivariate range accruals, accreters, zero coupon swaps, inverse floaters, TARNS, PRDCs, inflation derivatives, and products involving minor market indices; C and Python programming for financial modeling and derivative pricing; CVA mathematics for derivative products; Developing benchmark tools by implementing models such as multi factor HullWhite, BraceGatarekMusiela, Markov Functional and pricing methods closed form, Monte Carlo, and numerical integration; Treatment of funding basis and tenor basis in curve construction, and impact and treatment of rate convexity; SR 117 regulatory guidance for model validation and model risk management.

Combination Occupation

N

Offered to Applicant Foreign Worker

Y

Foreign Worker Live on Premises

N

Foreign Worker Live in Domestic Service

N

Foreign Worker Live in Domestic Service Count

Professional Occupation

Y

Application for College/University Teacher

N

SWA Job Order Start Date

2019-10-28

SWA Job Order End Date

2019-11-27

Sunday Edition Newspaper

Y

First Newspaper Name

Tampa Bay Times

First Advertisement Start Date

2019-11-03

Second Newspaper Ad Name

Tampa Bay Times

Second Advertisement Type

Newspaper

Second Ad Start Date

2019-11-10

Employer Website From Date

2019-10-30

Employer Website To Date

2019-11-14

Professional Organization Ad From Date

2020-01-01 08:27:29

Professional Organization Advertisement To Date

2020-01-01 08:27:29

Job Search Website From Date

2019-11-04

Job Search Website To Date

2019-11-11

Employee Referral Program From Date

2019-10-30

Employee Referral Program To Date

2019-11-14

Local Ethnic Paper From Date

2020-01-01 08:27:29

Local Ethnic Paper To Date

2020-01-01 08:27:29

Radio/TV Ad From Date

2020-01-01 08:27:29

Radio/TV Ad To Date

2020-01-01 08:27:29

Employer Received Payment

N

Posted Notice at Worksite

Y

Layoff in Past Six Months

N

Country of Citizenship

UNITED KINGDOM

Foreign Worker Birth Country

UNITED KINGDOM

Class of Admission

L-1

Foreign Worker Education

Doctorate

Foreign Worker Information: Major

THEORETICAL PHYSICS

Foreign Worker Years of Education Completed

1995

Foreign Worker Institution of Education

HERTFORD COLLEGE, UNIVERSITY OF OXFORD

Foreign Worker Education Institution Address 1

CATTE ST

Foreign Worker Education Institution Address 2

Foreign Worker Education Institution City

OXFORD

Foreign Worker Education Institution State/Province

Foreign Worker Education Institution Country

UNITED KINGDOM

Foreign Worker Education Institution Postal Code

OX1 3BW

Foreign Worker Experience with Employer

N

Foreign Worker Employer Pays for Education

N

Foreign Worker Currently Employed

Y

Employer Completed Application

N

Preparer Name

Colleen A Klanchnik

Preparer Title

Associate

Preparer Email

cklanchnik@gibney.com

Employer Information Declaration Name

Marc Soussa

Employer Information Declaration Title

ModelAnlysValid Exec Grp Mgr