Model/Anlys/Valid Officer

Citigroup Global Markets Inc. seeks a Model/Analysis/Validation Officer for its New York, NY location.

Duties: Develop and implement quantitative models of Counterparty Credit Risk (CCR). Simulate stochastic market factor evolution across multiple asset classes. Integrate derivatives pricing libraries for use in the simulated market context. Evaluate counterparty exposure profiles generated by derivative portfolios and model the effect of collateral exchange between counterparties. Conduct ad-hoc exposure investigations for existing portfolios and prospective trades. Drive the effort on implementation of completed model enhancements for production. Maintain and update model documentation and liaise with Risk Management, Model Risk, and Finance teams to facilitate timely model validation, approval, and production releases. Develop appropriate mathematical framework to address limitations, non-modeled risk, and other deficiencies in the models in response to internal, business, risk management, or regulatory findings. Identify, evaluate, and report on the nature, purpose, and expected impact of changes introduced to the models. Produce prototype implementations to be used throughout the model lifecycle. Evaluate impact of pricing model changes on major CCR metrics. Enhance and support periodic upgrades of the Front Office Integration derivative pricing models. Review changes in Front Office pricing models, categorize, design, and assign appropriate model testing, conduct such testing, and document the results. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements: Master’s degree, or foreign equivalent, in Financial Engineering, Applied Mathematics, Statistics, Data Science, or a related field, and two (2) years of experience in the job offered or in a related quantitative occupation developing and implementing models within the financial industry. Two (2) years of experience must include: Modeling sources and mitigants of Counterparty Credit Risk; Working with financial derivatives and pricing methods to recognize their risk factors and evaluate their risk profiles and pricing performance characteristics; Utilizing Numerical Methods and applying Statistical Analysis to design counterparty risk simulation models and to evaluate their out-of-sample performance; Using Python and C++ to write efficient and clean production-grade code and working with source control management systems to contribute such code into quantitative libraries developed jointly; and Working with parallel computing techniques to design scalable CPU-intensive applications for numerical and statistical analysis on enterprise-scale volume of financial transactions. Employer will accept pre- or post- Master’s degree experience. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/.  Please reference Job ID #25834276. EO Employer.

Wage Range:                $142,500.00-$142,500.00

Job Family Group:        Risk Management

Job Family:                  Risk Analytics, Modeling, and Validation

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

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