Market Risk Modeling & Implementation - SVP (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 the team and the role

As key component of 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.

As a member in MCRA FRTB IMA Analytics, the role will develop, implement, test, and maintain quantitative models to measure market risk for trading book products across all asset class. Responsibilities include:

• Gain understanding of the current market risk model framework, perform model analysis and model parameters updates as required.
• Develop and enhance the current models and processes according to Model Risk Management Policy requirement. 
• Contribute to the new model and process development for FRTB (the future market risk regulatory capital rule).
• Interact with stakeholders in model life cycle, including market risk managers (as model sponsor), front office data provider, technology (for model implementation), and model validation team.   Interaction with regulators may be required.
• Provide support to risk managers and businesses on market risk model related topics.

Qualifications:

• Good quantitative skills with the knowledge and experience of building mathematical/statistical models
• Market risk modeling experience and financial engineering knowledge
• Good programming skills in programming language such as Python, Spark, R, C++. Familiarity with Windows and UNIX/Linux operating environment
• Big data experience and familiar with big data processing platforms
• Clear and concise communication skills, both written and verbal
• Self-motivated and detail oriented, capability to handle multiple projects at the same time
• Prior knowledge of trading book products and prior trading experience is a plus
• Team management experience is a plus
• 7+ years relevant experiences

Education:

• Master’s Degrees (Ph.D.’s degree preferred) in a quantitative area, such as Finance, Computer Science, Statistics, Mathematics, Engineering, Econometrics, Economics, etc.

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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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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.

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