Citi Group Quantitative Risk Model Developer- Market Analytics - VP Hybrid 

United States, Texas, Irving 

899609772

Responsibilities:

• 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:

• Master’s Degree or equivalent in STEM or other quantitative fields required (Mathematics, Statistics, Financial Engineering, Quantitative Finance 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
• 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

Time Type:

View the " " poster. View the .

View the .

View the