Citi Group AVP Risk Capital Model Analyst Hybrid 

United States, Florida, Jacksonville 

831571825

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.

Anticipated Posting Close Date:

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