AVP, Quantitative Market Risk Analyst (Hybrid)

About Citi:

Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.

About DART

DART is the leading risk modeling and data analytics team in Citi. We use mathematical modeling and the latest technologies to calculate risk for the largest portfolios in Citi. We use visualizations and dashboards to communicate risk to senior stakeholders. Our models and analytics ensure that the bank has adequate capital during crisis.

About Market Risk IMA Analytics

As key component of DART Market & Counterparty Credit Risk Analytics (MCRA), Market Risk teams are responsible for development, enhancement, and ongoing calibration of Market Risk models that are used in both day-to-day risk management and regulatory capital measurement. Market Risk models measure the downside risk due to the financial market prices and rates fluctuation, as well as the risk due to bond and equity issuer default. The scope covers major risk class including FX interest rate, credit, equity, commodity, asset-backed securities and mortgage-backed securities.

With the introduction of the new Basel Minimum Capital Requirement on Market Risk, also known as FRTB (Fundamental Review of the Trading Book), Market Risk IMA Analytics team took on the effort to develop the next generation of market risk models (sometimes referred as “FRTB models”) which include the use of front office pricing models to measure market risk. These efforts require higher quality historical data for model calibration and more frequent update into the model.

In addition to model development, the team also work closely with Market Risk Mangers to set consistent standards for measuring market risk exposure across the firm, which is specified in Citi Market Risk Exposure Specification – a document that is maintained by Market Risk Analytics.

Responsibilities

• With oversight/guidance from senior staff, research, analyze, develop codes, and document market risk models for Basel 3 FRTB projects.
• Conduct data exploration on historical market data to understand data features.
• Provide comprehensive interpretations, explanations, and conclusions based on a set of analytic results.
• Develop, validate, and improve SQL queries for all kinds of market data.
• Develop models and validate Python and PySpark codes.
• Execute consistently to Model Risk Management heightened standards.
• Assist others in technology issues on Hadoop platform, Linux, and Windows OS systems.

Qualifications

• Master’s degree in Finance, Computer Science, Statistics, or another quantitative field (Mathematics, Engineering, Econometrics, Economics, etc.) is required. Advanced degree (PhD) is advantageous, as is exceptional academic record (rewards, recognition, etc.).
• Demonstrable interest in applying sophisticated mathematical and analytical techniques to solve real-world problems—especially in banking, finance, or risk management—is required.
• Experience or knowledge of big data development is highly advantageous.

Skills

• Solid programming skills, with experience of statistical/data analysis techniques and numerical implementations and some familiarity of modern software development tools, is required.
• Specific experience in Python, PySpark, Hadoop, using statistical packages and regression models, Linux, databases, SQL, and git is particularly advantageous.
• Good written and verbal communication skills, with ability to synthesize complex technical information and explain it clearly, is required.

Personal traits

• Highly motivated, with ability to work both independently and collaboratively.
• Highly responsible with good sense of timelines.
• Organized with good records management skills.
• Logical and thoughtful approach to work, with ability to perform well under pressure to meet tight deadlines.
• Giving careful attention to detail, with capability to deliver high quality results.
• Potential to build trusted relationships confidently.

Experience Required for AVP (C12)

• 2+ years quantitative analytical experience preferred. Other experience in financial institutes considered.
• Sound theoretical knowledge and some practical experience.

------------------------------------------------------

Job Family Group:

------------------------------------------------------

Job Family:

------------------------------------------------------

Time Type:

------------------------------------------------------

Primary Location:

------------------------------------------------------

Primary Location Full Time Salary Range:

In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

------------------------------------------------------

Anticipated Posting Close Date:

------------------------------------------------------

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.

View the "EEO is the Law" poster. View the EEO is the Law Supplement.

View the EEO Policy Statement.

View the Pay Transparency Posting