AVP, Model/Anlys/Valid Sr Analyst - C12 (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.

  Citi’s Mission and Value Proposition explains what we do and Citi Leadership Standards explain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients’ and the public’s trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.

  Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.

• Key responsibilities:

  General:

  Partners include various working groups, model developers, risk managers, business clients, model validators, Risk IT, internal and external auditors, and regulators.  Engage with partners, as appropriate, to:

• Develop and implement methodologies, algorithms and diagnostic tools for testing model robustness, stability, reliability, performance and quality control of modeling data.
• Conduct on-going model performance analysis,
  • Discover, understand and quantify model limitations,
  • Provide comprehensive interpretations, explanations and conclusions,
  • Work with partners to resolve model issues
• Enhance efficiency and effectiveness of implementation of post model development analytics
  • Automate and consolidate ongoing model analysis and the annual model review process across different models,
  • Migrate analytics to a production environment as appropriate

• Support various tasks in response to regulatory and internal risk management requirements.
• Develop, maintain and enhance technical documentation including project plans, model descriptions, mathematical derivations, data analysis, process and quality controls.

More specifically, develop methodologies, algorithms and diagnostic tools for testing model robustness, stability and performance for the following risk stripes:

• Market Risk:
  • Analysis for market risk models includes, but is not limited to, backtesting and profit attribution analysis (PAA) on hypothetical portfolios for all asset classes across the trading book.
  • Automating and consolidating ongoing model analysis and the annual model review process across different models to enhance efficiency.
  • Collaborating with model developers, market risk managers, model validators, and Risk IT to discover and resolve model issues and enhance existing implementation.

Supporting various tasks in response to regulatory and internal risk management requirements

Qualifications

• Minimum of a Master’s degree in quantitative field (e.g. mathematics, physics, statistics, engineering, economics, finance, financial engineering, etc.) with 2+years of relevant experience.
• Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second Master’s degree, CPA, FRM or CFA
• Solid programming skills and experience with statistical and data analysis, modelling techniques and numerical implementations.  More specifically experience in Python, R and Perl, shell scripts, UNIX, VBA and basic database skills in either Oracle or Sybase/SQL.
• Experience in developing and maintaining detailed technical documentation for models, model validation, project plans and processes preferred.
• Ability to multi-task, work well under pressure and committed to deliver under tight deadlines
• Strong written and verbal communication skills, and ability to discuss technical issues with partners.
• Strong interpersonal skills and the ability to foster a collaborative environment
• Organized, disciplined and detail oriented with sound problem-solving skills, and the ability to think creatively.
• Keen interest in banking and finance, especially in the field of Risk Management.
• Experience in quantitative finance or a related field, analyzing large and complex data sets, data reliability analysis, quality controls and data processing preferred.
• Experience of one or more of the following is an advantage but not essential: derivative pricing and exotic products; risk management practices and procedures; numerical methods; Monte Carlo simulations; statistical hypotheses testing; trading-book products, risk analytics for wholesale stress testing for credit portfolios, credit risk modelling and risk management or related areas.
• Basic understanding of macroeconomics, monetary economics and econometrics, statistics, time series analysis and Monte Carlo simulations. Familiarity with continuous time models and stochastic processes.  

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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.

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Anticipated Posting Close Date:

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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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