Citi
Modeling/Analysis/Validation Senior Analyst
Citi, Tampa, Florida, us, 33646
Citibank, N.A. seeks a Modeling/Analysis/Validation Senior Analyst for its Tampa, Florida location.
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.
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.
Wage Range: $111,460.18 to $125,000
Job Family Group: Risk Management
Job Family: Risk Analytics, Modeling, and Validation
Time Type: Full time
Primary Location: Tampa Florida United States
Anticipated Posting Close Date: Oct 04, 2024
Citi is an equal opportunity and affirmative action employer. Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.
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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.
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.
Wage Range: $111,460.18 to $125,000
Job Family Group: Risk Management
Job Family: Risk Analytics, Modeling, and Validation
Time Type: Full time
Primary Location: Tampa Florida United States
Anticipated Posting Close Date: Oct 04, 2024
Citi is an equal opportunity and affirmative action employer. Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.
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