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Citi Group AVP Risk Capital Model Analyst Hybrid 
United States, Florida, Tampa 
978651446

09.08.2024

Responsibilities:

  • 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.
Risk ManagementRisk Analytics, Modeling, and Validation

Full timeTampa Florida United States$87,280.00 - $130,920.00



Anticipated Posting Close Date:

Aug 14, 2024

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