Citi Group AVP Market Risk Analytics Hybrid 

United States, Florida, Tampa 

351519074

Description:

The successful candidate will

• Support market risk analytics projects in multiple areas, including FRTB (Fundamental Review of the Trading Book, the next generation of market risk regulatory framework) CCAR (Comprehensive Review of the Trading Book), and LIBOR transition;
• Develop market risk models critical for quantifying the market risk exposures of Citi’s trading book and calculating regulatory capital;
• Collaborate with other teams include Risk IT to implement new models, resolve production issues and enhance existing implementation;
• Calibrate model parameters, perform variance analysis to explain the changes in model output due to parameter updates;
• Perform ongoing analysis of models, including backtesting and profit attribution analysis (PAA);
• On a regular basis, engage market risk managers and the businesses on analytics-related matters;
• Develop and maintain technical documentation;
• Support various tasks in response to regulatory and internal risk management requirements

Qualifications:

• A post-graduate degree (master’s or above) in a field with solid quantitative background, such as applied mathematics, statistics, computer science, physics or engineering.
• 1-2 years relevant experience.Candidates with less experience will be considered if they have additional academic and/or professional credentials such as a PhD, a second Master’s degree, or a CFAdesignation
• Strong technical skills, proficiency in a computational language such as Python or R is required; familiarity with SQL and UNIX is a plus;
• Experience with analyzing large and complex data sets;
• Good verbal and written communication skills

Anticipated Posting Close Date:

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