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Citi is an American multinational investment bank and financial services corporation headquartered in New York City, NY.
(more about Citi)AVP, Quant Model Validator (Hybrid)
Job Description
The Model Risk Management (MRM) organization provides oversight for the Model Risk Management Framework, which consists of the policy, processes, and procedures through which Citi identifies, measures, manages, monitors, reports, and controls model risk across the firm. This position is a unique opportunity to learn how the trading book models are developed and validated in a Tier one Global Investment Bank.
Citi's Institutional Clients Group is comprised of diverse, talented professionals globally located in more than 100 countries and territories, collectively representing an unparalleled international network of financial skills and capabilities serving targeted clients. Our clients are top corporations, financial institutions and governments in countries around the world and our mission is to help them achieve their goals.
Responsibilities:
We are looking for model validation quants for the Market Risk and Counterparty Credit Risk validation team, with focus areas including Market Risk (e.g. Fundamental Review of Trading Book), Counterparty Credit Risk, Initial Margin (e.g. SIMM), Comprehensive Capital Analysis and Review (CCAR), Internal Capital Adequacy Assessment Process (ICAAP), Economic Risk Capital, etc. The validation covers both technical and functional aspects, including model assumptions, conceptual soundness, mathematical formulation, model calibration, and model performance, as well as the functional assessment of using the model for regulatory and business applications. Job responsibilities include reviewing models and identifying shortcomings development documents, performing validation tests, discussing findings with senior stakeholders, writing validation reports, and managing model risk on an ongoing basis.
Qualifications:
- 1+ years of experience in quantitative model development or validation.
- Knowledge of financial instruments, pricing models, simulation and risk estimation methodologies, and regulatory requirements (prior knowledge of trading book products is a plus)
- Sound knowledge in Calculus, Algebra, Statistics, and Numerical Methods
- Strong verbal and written communication skills
- Solid writing skills. Publications in peer-reviewed journals are considered as good evidence
- Programming skills in languages like Python, MATLAB, C/C++/C#, VBA
- Self-motivated and detail oriented, capability to handle multiple projects at the same time
- Ability to work independently
Education:
- A Master’s degree (Ph.D. degree preferred) in a quantitative field (e.g. Mathematics, Physics, Engineering, Finance, Economics, Statistics) with relevant coursework and experience
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Job Family Group:
Risk Management-------------------------------------------------
Job Family:
Risk Analytics, Modeling, and Validation------------------------------------------------------
Time Type:
Full time------------------------------------------------------
Primary Location:
Tampa Florida United States------------------------------------------------------
Primary Location Salary Range:
$87,280.00 - $130,920.00------------------------------------------------------
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.
Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.
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