Citi Group AVP Model Analysis Sr Analyst Hybrid 

United States, Florida, Tampa 

344097643

The role to be filled in this team would be responsible for leading the effort of re-engineering the model implementation and production process for a multitude of risk capital calculations covering risk stripes including wholesale, trading, and banking book portfolios. The qualified candidate would lead several projects to greatly improve the implementation of these models, reduce computational demand, streamline production process for better automation and faster execution. Apart from reducing the production delay, these projects also aim at enhancing our capability of supporting additional analytics such as what-if and sensitivity analysis. More specifically, this role is expected to

• Improve RC model accuracy and reduce model complexity
• Refactor the risk capital simulation library to reduce computational demand and runtime.
• Re-engineer and automate the RC production process to reduce production delay and streamline the end-to-end process
• To re-visit risk capital model for wholesale, DSFT, and market risk to improve consistency of RC metric across different products.
• To support current production process RC, investigate and fix production issues on timely manner and provide support for diagnosing RC variations.
• To implement analytic tools for enhanced support for what-if, ad-hoc, and sensitivity analysis.
• To work with IT for integrating new RC library into system and handle UAT and integration tests.

Qualifications:

• Degrees at postgraduate level in hard science major or degree in computer science and experienced with software engineering.
• Proficient in Python or C++.
• 2+ years of experience of quant model development in financial industry or developing software for analytical and quantitative models.
• Knowledgeable in modeling framework for credit risk, default correlation, and counterparty default dynamics or other quantitative models in financial industry is a plus.
• Strong communicator, self-starter, and team player.
• Eagerness & ability to grasp complex analytical or mathematical concepts quickly. Ability to navigate through complex data and infrastructure environment a plus.

Anticipated Posting Close Date:

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