Citi Group AVP Quantitative Market Risk Analyst Hybrid 

United States, Texas, Irving 

746421346

About Market Risk IMA Analytics

With the introduction of the new Basel Minimum Capital Requirement on Market Risk, also known as FRTB (Fundamental Review of the Trading Book), Market Risk IMA Analytics team took on the effort to develop the next generation of market risk models (sometimes referred as “FRTB models”) which include the use of front office pricing models to measure market risk. These efforts require higher quality historical data for model calibration and more frequent update into the model.

Responsibilities

• With oversight/guidance from senior staff, research, analyze, develop codes, and document market risk models for Basel 3 FRTB projects.
• Conduct data exploration on historical market data to understand data features.
• Provide comprehensive interpretations, explanations, and conclusions based on a set of analytic results.
• Develop, validate, and improve SQL queries for all kinds of market data.
• Develop models and validate Python and PySpark codes.
• Execute consistently to Model Risk Management heightened standards.
• Assist others in technology issues on Hadoop platform, Linux, and Windows OS systems.

Qualifications

• Master’s degree in Finance, Computer Science, Statistics, or another quantitative field (Mathematics, Engineering, Econometrics, Economics, etc.) is required. Advanced degree (PhD) is advantageous, as is exceptional academic record (rewards, recognition, etc.).
• Demonstrable interest in applying sophisticated mathematical and analytical techniques to solve real-world problems—especially in banking, finance, or risk management—is required.
• Experience or knowledge of big data development is highly advantageous.

Skills

• Solid programming skills, with experience of statistical/data analysis techniques and numerical implementations and some familiarity of modern software development tools, is required.
• Specific experience in Python, PySpark, Hadoop, using statistical packages and regression models, Linux, databases, SQL, and git is particularly advantageous.
• Good written and verbal communication skills, with ability to synthesize complex technical information and explain it clearly, is required.

Personal traits

• Highly motivated, with ability to work both independently and collaboratively.
• Highly responsible with good sense of timelines.
• Organized with good records management skills.
• Logical and thoughtful approach to work, with ability to perform well under pressure to meet tight deadlines.
• Giving careful attention to detail, with capability to deliver high quality results.
• Potential to build trusted relationships confidently.

Experience Required for AVP (C12)

• 2+ years quantitative analytical experience preferred. Other experience in financial institutes considered.
• Sound theoretical knowledge and some practical experience.

Anticipated Posting Close Date:

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