Market Risk Analytics Officer - VP (Hybrid)

Job Description

The Market Risk Analytics Officer is a strategic professional who stays abreast of developments within own field and contributes to directional strategy by considering their application in own job and the business. Recognized technical authority for an area within the business. Requires basic commercial awareness. There are typically multiple people within the business that provide the same level of subject matter expertise. Developed communication and diplomacy skills are required in order to guide, influence and convince others, in particular colleagues in other areas and occasional external customers. Significant impact on the area through complex deliverables. Provides advice and counsel related to the technology or operations of the business.

Responsibilities:

• Support market risk analytics projects in multiple areas, including FRTB (Fundamental Review of the Trading Book, the next generation of market risk regulatory framework) CCAR (Comprehensive Review of Analysis Review), ICCAP (Internal Capital Adequacy Assessment Process), and other stress testing;

• Develop market risk models critical for quantifying the market risk exposures of Citi’s trading book and calculating regulatory capital;

• Collaborate with other teams include Risk IT to implement new models, resolve production issues and enhance existing implementation;

• Calibrate model parameters, perform variance analysis to explain the changes in model output due to parameter updates;

• Perform ongoing analysis of models, including backtesting and profit attribution analysis (PAA);

• On a regular basis, engage market risk managers and the businesses on analytics-related matters;

• Develop and maintain technical documentation;

• Support various tasks in response to regulatory and internal risk management requirements

Qualifications:

• Master’s Degree or equivalent in STEM or other quantitative fields required (Mathematics, Statistics, Financial Engineering, Quantitative Finance etc.) with 5+ years of Quantitative 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 or CFA

• Strong technical skills, proficiency in a computational language such as Python or R is required; familiarity with SQL and UNIX is a plus;

• Experience with analyzing large and complex data sets;

• Good verbal and written communication skills

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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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