Citi Group Modeling/Analysis/Validation Senior Analyst 

United States, Florida, Tampa 

821425546

Duties: Perform counterparty risk and market risk model revalidation and ongoing performance analysis of pricing, simulation and Value at Risk or Risk Weighted Assets models on Commodities, Rates, Equities, Credit products and Mortgage-backed Securities. Lead risk reporting projects presented to regulators, risk managers and other stakeholders and coordinating with validators and developers on model changes, limitations and root cause investigation. Support model development by validating the model assumptions and formula inferences, debugging on prototypes and closing active limitations. Deliver post-development testing on a regular basis including but not limited to backtesting, Monte-Carlo simulation, product pricing with stochastic calculus, simulation error statistics, stress test, data quality and variables sensitivities. Develop and maintain repositories of model implementation, test automation and parameter calibration with Python, C++, Matlab, R and SQL, both in Windows and in Linux. Conduct on-going model performance analysis (OPA), Annual Model Review (AMR) and model revalidation. 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 Statistics, Mathematics, Financial Engineering, Quantitative Finance, Economics, Physics or related quantitative field and 2 years of progressive, post-baccalaureate experience as a Quantitative Financial Analyst, Quantitative Developer, Model Validator, or related position involving Model development and Model validation for financial industry. 2 years of experience must include: Stochastic Calculus, Numeric Analysis, Econometrics, Data structure; Python, C++, SQL; Bitbucket; Monte-Carlo simulation, product pricing with stochastic calculus, simulation error statistics; Data quality; Financial Engineering, Derivatives pricing, Macroeconomics. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #24780177. EO Employer.

Wage Range: $111,460.18 to $125,000

Anticipated Posting Close Date:

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