Citi Group Model/Anlys/Valid Officer 

United States, New York, New York 

707397017

Duties: Support market risk modeling and analytics projects for Fundamental Review of the Trading Book (FRTB), Comprehensive Review of the Trading Book (CCAR) and London Interbank Offered Rate (LIBOR) transition areas. Utilize mathematical and statistical theories and methods to develop historical scenario generation models for credit products. Use Linux, SQL database, and object-oriented programming to develop market risk models critical for quantifying market risk exposures of trading book and calculating regulatory capital, including Default Risk Charge (DRC) and Facility Risk Rating (FRR). Perform analysis based on business, requirement and risk infrastructure. Conduct research to build models, perform model testing, develop technical documentation, work with internal partners and regulators to get approval of models. Implement advanced mathematical and statistical models using Python and C++ program. Use parallel computing techniques to perform models back testing, stress testing, and profit attribution analysis. Support compliance efforts in response to regulatory and internal risk management requirements. Perform impact analysis to support business decision and explain model-related issues to stakeholders. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements: Requires a Master’s degree, or foreign equivalent, in Finance, Economics, Mathematics, Statistics or related field and 2 years of experience as a Model/Analysis/Validation Senior Analyst, Financial Quantitative Analyst or related position involving risk analysis model development and implementation within the financial services industry. 2 years of experience must include: Mathematical and statistical theories and methods: applied linear statistical methods and generalized linear models, nonparametric inference, time series analysis and stochastic processes, optimization and option pricing; Object oriented programming in Python and C++; Linux; SQL database; Calibration and variance analysis of time series and risk factors; Financial products; Pricing models for financial products; Risk management techniques: Value at Risk (VaR) and Backtesting; and Regulatory frameworks: Basel 2.5, Fundamental Review of the Trading Book (FRTB) and Comprehensive Review (CCAR). Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #24805160. EO Employer.

Wage Range: $155,670 to $200,000

Anticipated Posting Close Date:

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