Quantitative Analyst

We are looking for an experienced quantitative analyst with a strong analytical background to join our team in the Model Risk Management group.

The analyst will be responsible for a comprehensive assessment of models used within Citi and managing their risk. Our validations cover the technical assessment of conceptual soundness, mathematical formulation and model performance, as well as the functional assessment of using the model for regulatory and business applications. Model Risk Management group is currently looking for a person who will support the validation of risk models, including, but not limited to, market and counterparty credit risk, economic risk capital and margin models.

Job responsibilities:

  • Perform conceptual and quantitative work to challenge market and counterparty credit risk models by assessing their accuracy and robustness
  • Implement variety of tests aimed to examine model’s behavior under different scenarios and market conditions
  • Close collaboration with senior personnel on delivering high-quality validation reports and highlighting risks and limitations of the models
  • Being up-to-date with the modeling techniques used in the industry and academic research

Desired skills:

  • 4+ years of experience in either validation, model development, market risk or counterparty credit risk would be highly advantageous
  • Strong analytical skills, preferably with a quantitative background (e.g. mathematics, statistics, physics)
  • Knowledge of financial markets and derivatives
  • Good communication skills both verbal and written as the work involves frequent interaction with model developers, risk managers and other stakeholders.
  • Ability to write and read moderately complex code in Python or R

We offer:

  • Opportunity to work on variety of risk models in one of the world’s leading banks
  • Chance to gain unique, career-boosting experience that is highly valued in the financial industry
  • Cooperation with senior colleagues from Front Office, model development and business teams on number of challenging and intellectually stimulating projects
  • Management supporting work-life balance and providing flexibility in working hours as well as remote work
  • Attractive package of benefits including medical care, pension plan and Benefit System

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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:

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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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