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Quantitative Developer - VP/New York/Tampa (R21034784)

Job Req ID 22481815 Primary Location New York, New York; Tampa, Florida Job Category Risk Management
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The Model/Anlys/Valid Sr Mgr accomplishes results through the management of professional team(s) and department(s). Integrates subject matter and industry expertise within a defined area. Contributes to standards around which others will operate. Requires in-depth understanding of how areas collectively integrate within the sub-function as well as coordinate and contribute to the objectives of the entire function. Requires basic commercial awareness. 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. Has responsibility for volume, quality, timeliness and delivery of end results of an area. May have responsibility for planning, budgeting and policy formulation within area of expertise. Involved in short-term planning resource planning.Full management responsibility of a team, which may include management of people, budget and planning, to include duties such as performance evaluation, compensation, hiring, disciplinary and terminations and may include budget approval.

Responsibilities:

  • Develops, enhances, and validates the methods of measuring and analyzing risk, for all risk types including market, credit and operational. Also, may develop, validate and strategize uses of scoring models and scoring model related policies.
  • Manages model risk across the model life-cycle including model validation, ongoing performance evaluation and annual model reviews.
  • Produces analytics and reporting used to manage risk for Citi's operations.
  • Translates operational requests from the business into programming and data criteria and conduct systems and operational research in order to model expected results.
  • Assists in the development of analytic engines for business product lines.
  • Communicates results to diverse audiences.
  • Conducts analysis and packages it into detailed technical documentation report for validation purposes sufficient to meet regulatory guidelines and exceed industry standards.
  • Participates on teams to solve business problems.
  • Identifies modeling opportunities that yield measurable business results.
  • Provides guidance to junior validators as and when necessary.
  • Manages stakeholder interaction with model developers and business owners during the model life-cycle.
  • Represents the bank in interactions with regulatory agencies, as required.
  • Presents model validation findings to senior management and supervisory authorities.
  • Provides effective challenge to model assumptions, mathematical formulation, and implementation.
  • Assesses and quantifies model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
  • Contributes to strategic, cross-functional initiatives within the model risk organization.
  • Full management responsibility of a team, which may include management of people, budget and planning, to include duties such as performance evaluation, compensation, hiring, disciplinary and terminations and may include budget approval.
  • Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency, as well as effectively supervise the activity of others and create accountability with those who fail to maintain these standards.

Qualifications:

  • 6-10 years experience
  • Consistently demonstrates clear and concise written and verbal communication skills
  • Self-motivated and detail oriented
  • Demonstrated project management and organizational skills and capability to handle multiple projects at one time .
  • Practical experience using SAS or similar statistical coding software to build and test prediction models. comfortable interfacing with business clients. proficiency handling very large data sets.
  • Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation.
  • Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models.

Education:

  • Bachelor’s/University degree or equivalent experience, potentially Masters degree

Job Description:

The Risk Modelling and Analysis (RMA) group’s mandate is to develop, maintain, and enhance credit, market, and counterparty risk analytics to consistently measure risk, optimize capital, dimension risk appetite, and allocate these metrics to businesses and geographies; and to support Basel, internal and external stress testing, and loan loss reserve processes. Additionally, the group reviews and approves credit risk rating processes and analyses rating performance across Citi’s portfolios. RMA comprises around 300 quantitative risk analysts and other professionals located in eleven cities and eight countries and is responsible for over 200 risk models used within Citi.

Counterparty Risk Analytics team is part of RMA, the team is responsible for developing and maintaining the methodologies to calculate counterparty credit risk (CCR) exposures for derivatives products. These models are used for advanced Basel regulatory capital calculations and internal risk management measures.

The role’s focal point will be the further development of Citi’s CCR framework by supporting the inclusion of new products and the associated pricing models, across asset classes such as commodities.

Key Responsibilities:

·Contribute to the integration of new derivatives products into the counterparty credit risk framework;

·Conduct data analysis

·Develop model and integration code (C++/python) based on provided specifications

·Conduct performance testing of new products;

·Prepare model documentations to high standards;

·Support model risk management process, i.e. provide ad hoc analysis to justify modelling assumptions and/or test results;

Qualifications and Competencies:

·Master’s degree/PhD in a quantitative discipline

·Professional certifications are a plus, CQF preferred

·Experience with developing and testing libraries in C++ and Python on Linux and Windows platforms

·Strong written, verbal, and interpersonal communication skills

·Works well under pressure and in tight deadlines

Q/KDB+ is a plus

Experience with financial market data (Bloomberg, Reuters, Markit) is a plus

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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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.

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

View the EEO Policy Statement.

View the Pay Transparency Posting

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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.

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