Citi Group DART VP - Market Risk Quant Modeling 

United States, Texas, Irving 

731437954

About People in DART

We are a diverse group of professionals with backgrounds in physics, engineering, finance, economics, and data science. You will work alongside experienced colleagues to further develop your analytical and quantitative skills. Your responsibilities will include building models and analytical applications to tackle real-world challenges, paving the way for a career as a risk management expert and leader.

Key Responsibilities of the Role:

As a member of DART Market & Counterparty Credit Risk Analytics (MCRA), the role will develop, implement, test, and maintain market risk FRTB IMA (the future market risk regulatory capital rule) models to measure market risk across all asset classes.

• Gain understanding of the current market risk model framework, perform model analysis as required.

• Develop and enhance the market risk models according to Model Risk Management Policy requirement. Specifically, contribute to the new model development for FRTB IMA.

• Prepare detailed quantitative analysis for risk managers and senior management.

• Synthesize and communicate complex risk models and results to stakeholders in model life cycle, including market risk managers (as model sponsor), front office data provider, technology (for model implementation), and model validation team. Interaction with regulators may be required.

• Provide support to risk managers and businesses on market risk model related topics.

Qualifications:

• Good quantitative skills with the knowledge and experience of building mathematical models.

• Ability to apply sophisticated mathematical/analytical techniques to solve real-world problems.

• Good programming skills in programming language such as Python, Spark, Java, or C++. Familiarity with Windows and UNIX/Linux operating environment.

• Clear and concise communication skills, both written and verbal

• Self-motivated and detail oriented, capability to handle multiple projects at the same time.

• Knowledge of or interest in finance, markets, risk management.

Education:

• Master’s Degree or equivalent in STEM or other quantitative fields required (Mathematics, Statistics, Financial Engineering, Quantitative Finance, Engineering, Computer Science etc.) with 6+ years of Quantitative experience.

• Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second Master’s degree, CPA or CFA

Anticipated Posting Close Date:

View the " " poster. View the .

View the .

View the