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Quantitative Risk Analyst (Model Developer) - AVP / VP (Hybrid)

Citi is an American multinational investment bank and financial services corporation headquartered in New York City, NY.

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Quantitative Risk Analyst (Model Developer) - AVP / VP (Hybrid)

We are looking for an AVP/VP Model Developer for Counterparty Risk Analytics team. We are responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures for derivatives products. These models are used for advanced regulatory capital calculations and internal risk management measures. The role’s focal point will be to support the further development of Citi’s counterparty risk analytics framework. It is essential for the candidate to have strong programming skills.

Key Responsibilities:

  • Contribute to counterparty credit risk model development;
  • Perform rigorous model testing, including back-testing and other testing involved in the model development process;
  • Conduct statistical analysis on large volume of financial data;
  • Prepare model documentations and coordinate with risk IT technology to test implementation of counterparty credit risk models;
  • Build-up of local expertise in counterparty credit risk models and relationships with internal risk management and other functions;
  • Support for regulatory capital model approvals and related risk management processes

Development Value:

  • In-depth knowledge for all counterparty credit risk models and all trading book products will provide significant business and personal development opportunities
  • Gain extensive product/structure knowledge of all asset classes
  • Gain deep understand on a high level view of industry regulatory requirements
  • Interaction with all businesses across Citi

Knowledge, skills and experience required:

  • Experience as a Quant in the financial industry
  • Qualifications: MSc/PhD in a quantitative field;
  • Knowledge: Excellent mathematical skills, including stochastic calculus, probability and statistics;
  • Skills: Strong knowledge of programming in Python;
  • Competencies: Excellent communication skills, both oral & written; ability to organize time, work to a plan, and finish all tasks accurately and on time; strong motivation and desire to learn; team working.

This job description provides a high-level review of the types of work performed. Other job related duties may be assigned as required.

Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

Valuing Diversity:
Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organizational success.

Citi is an Equal Opportunities Employer

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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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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