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Model Analysis, Quantitative Risk and Stress Testing, AVP and Officer (FL)

Locations: Tampa, Florida Job Function: Risk Management Employee Status: Regular Job ID: 20165677

About Quantitative Risk and Stress Testing

The Quantitative Risk and Stress Testing (QRS) 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. QRS comprises more than 250 quantitative risk analysts and other professionals located in nine cities and six countries, and is responsible for over 200 risk models used within Citi.

QRS Openings

QRS has openings for Officers (C11) and Assistant Vice Presidents (C12) in Irving, TX and Tampa, FL.  Grade level is a function of experience and breadth and depth of knowledge.

Locations and levels of openings indicated next to team name.  For completeness, descriptions of all departments that comprise QRS are provided below.

Counterparty Risk Analytics (CRA) (Tampa C11/C12)

The CRA team is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures of OTC derivatives, exchanged-traded derivatives, security financing transactions, and margined loans. The models are used for advanced Basel regulatory capital calculations, CCAR/Internal Capital Adequacy Assessment Process (ICAAP) estimations, and internal risk management measures (PFE/EPE).

Additionally, the team provides live-deal analysis to business and risk management by calculating credit exposure factors at trade and portfolio levels, estimating allowable collateral levels, and determining initial margin requirements. The team also conducts impact analysis for capital optimization initiatives and new regulatory rules related to counterparty risk, and ensures models and data logics are implemented correctly in credit risk systems.

Credit and Obligor Risk Analytics (CORA) (Irving C12; Tampa C12)

The CORA team is responsible for covering enterprise-wide model development for wholesale and retail credit risk. CORA models are used to estimate advanced Basel III regulatory capital parameters and Global Systemic Stress Testing.

CORA models produce the CCAR and ICAAP estimations. Other wholesale models cover loan loss reserves (IFRS 9/ CECL), cost of credit, obligor risk ratings (debt rating models), liquidity stress testing, RWA stress testing, and market-based default and downgrade risk models. The team is responsible for the life cycle development of all Citi’s wholesale probability of default models used to rate small to mid-size or mid-market enterprises and large corporates as well as commercial banks on a global basis. These models are used by approximately 3,000 risk managers throughout Citi who rate 50,000 obligors with $1 trillion in exposure in the wholesale portfolio.

CORA is also responsible for approval of all risk rating policies and processes for wholesale portfolios.

Economic Forecasting Team (Irving C11/C12)

Economic Forecasting Team is responsible for forecasting firm wide macroeconomic and financial variables that are critical inputs to a variety of corporate stress tests, loan loss reserves and financial planning model. These includes, CCAR, MCST, Mid-Year-Forecast for Corporate Planning, Annual Corporate Operating Plan, ICAAP, forward looking indicator (FLI) forecast for IFRS, CECL and Global Systemic Stress Tests (GSST's).  The team heavily relies on advanced time series and macro econometrics modeling of global economies, with a focus on macro-monetary-financial interlinkages.

Enterprise Stress Testing (Irving C12)

The Enterprise Stress Testing team is responsible for enhancing Citi’s internal Stress Testing (e.g. GSST) and infrastructure. Firm wide stress testing methodologies are widely used in Citi’s identification and measurement of tail risks to assess potential vulnerabilities and capital adequacy. These are foundational elements used in the firm’s risk-return metrics, Board and regulatory reporting, and limit setting frameworks at both Group/CBNA level and certain business/geographic segments.

The Enterprise Stress Testing team is responsible for defining the overall framework and principles of key non-CCAR stress testing methodologies (e.g. GSST and conditional stress loss) and measurement/monitoring of systemic risks. The team is also responsible for developing risk management applications based on these methodologies (e.g. centralized ICAAP tools, firm wide internal stress testing, concentration risk, countercyclical limit setting) to quantify key tail risks and ensure consistent and accurate risk measurement across the firm

Market Risk Analytics (Irving C12)

The Market Risk Analytics team is responsible for developing and maintaining market risk models used for both risk management and regulatory capital purpose. These models currently include Value-at-Risk (VaR), Stressed VaR (SVaR), Incremental Risk Charge (IRC) for trading book migration and default risk, and Comprehensive Risk Measure (CRM) for credit correlation trading.

The team also maintains the Citi Market Risk Exposure Specification, which provides a set of consistent risk sensitivity measures across the firm. In performing the ongoing calibration of the market risk models, the team also specifies, collects, verifies, and maintains historical time series of the market factors. Additionally, the team’s mandate includes obtaining approval on market risk models for Basel regulatory capital calculation, preparing Citi for future regulation changes (e.g., Fundamental Review of the Trading Book), and provides quantitative analyses and support to Market Risk Managers.

Model Analysis Group (Irving C11/C12; Tampa C11/C12)

The objectives of the Model Analysis Group (MAG) are to drive productivity enhancements and capture synergies in post model development analytics (PMDA), for models developed by QRS Teams. Key to delivering on these objectives is enhancing the documentation, automation, and replicability of PMDA research and activities. While this leads to efficiency, it also facilities the transfer of knowledge amongst MAG Team members allowing them to gain experience across multiple risk stripes thereby enhancing mobility and growth potential within QRS and the larger Risk organization.

With about 180 of QRS's 209 models currently covered by the Model Analysis Group, the remaining models to be transitioned, and more models seeming to come on line every quarter, PMDA is a growing business.

Risk Capital Analytics (RCA) (Irving C12; Tampa C12)

The RCA team is responsible for defining the overall framework and principles of Risk Capital (RC) across market risk, wholesale and retail credit risk, pension risk, and ALM risk. RC is a firm-wide metric to measure economic capital usage at the consolidated group as well at the detailed business unit level. It is reported to regulators and the Board as a key capital adequacy metric for Citi and its major legal entities. RC is also used extensively to set risk limits and to assess the risk-adjusted profitability of large transactions.

Strategy Office (Irving C12; Tampa C12)

The QRS Strategy Office is responsible for ensuring QRS meets its goals and objectives via

  • Execution and thought-leadership on Strategic Initiatives such as Innovation, location-footprint redesign, work prioritization, and workflow reengineering;
  • Management of talent pipeline, working with HR, and other partners to define strategy/goals and execute talent initiatives;
  • Clear and effective communication to senior management on goals, significant programs, and analytic topics;
  • Setting, managing and monitoring the budgets and expenses process;
  • Manage communication channels to ensure QRS leadership vision and decisions are clearly socialized within the QRS employee population;
  • Provision of PMO support to the Economic Forecasting Team and
  • Cover "ad hoc" requests that arise for the head of QRS pertaining to management and strategy areas.

Job description Officer (C11)

  • With oversight/guidance from senior staff, research, develop, and implement models for credit risk, market risk, and/or counterparty credit, including risk capital and/or stress testing, macro econometric and time series forecasting models
  • Learn the QRS approach in developing and implementing methodologies, algorithms and diagnostic tools for testing model robustness, stability, reliability, performance, and quality control of modelling data, e.g., historical market data used for model parameter calibration, and participate in annual model reviews
  • Gain an understanding of how QRS develops, maintains, and enhances technical and non-technical documentation, including project plans, model descriptions, mathematical derivations, data analyses, processes and quality controls
  • Assist others in designated tasks in response to regulatory and internal risk management requirements

Job description AVP (C12)

  • Independently research, develop, and implement models for credit risk, market risk, and/or counterparty credit, including risk capital and/or stress testing, macro econometric and time series forecasting models
  • Develop, implement and enhance methodologies, algorithms and diagnostic tools for testing model robustness, stability, reliability, performance, and quality control of modelling data, e.g., historical market data used for model parameter calibration, and participate in annual model reviews
  • Develop, maintain, and enhance technical and non-technical documentation, including project plans, model descriptions, mathematical derivations, data analyses, processes and quality controls
  • Work on various assigned tasks in response to regulatory and internal risk management requirements

Qualifications

  • Masters degree in Economics, Finance, or another quantitative field (Mathematics, Engineering, Computer Science, Econometrics, Statistics, etc.) is required. Advanced degree (PhD) is advantageous, as is exceptional academic record (rewards, recognition, etc.)
  • Other qualifications such as Financial Risk Manager (FRM), Chartered Financial Analysts (CFA), Certificate in Quantitative Finance (CQF), etc. are advantageous
  • Demonstrable interest in applying sophisticated mathematical/analytical techniques to solve real-world problems—especially in banking, finance, or risk management—is required
  • Experience or knowledge of one or more of the following topics is highly advantageous but not essential: derivative pricing, risk management practices, numerical methods including Monte Carlo simulation, statistical hypothesis testing, banking- or trading-book products, accounting and corporate finance, credit risk modelling, market risk modelling, counterparty risk modelling, risk capital modelling, stress testing

Skills

  • Solid programming skills, with experience of statistical/data analysis techniques and numerical implementations and some familiarity of modern software development tools, is required. Specific experience in SAS, Python, R, using statistical packages and regression models, C/C++, UNIX, databases, and version control systems is particularly advantageous
  • Good written and verbal communication skills, with ability to synthesize complex technical information and explain it clearly, is required
  • For C12s, actual hands-on experience of quantitative financial modelling (research, development, implementation) and maintaining detailed technical documentation for models, model validation, projects plans and processes, is highly advantageous

Personal traits

  • Highly motivated, with ability to work both independently and collaboratively
  • Logical and thoughtful approach to work, with ability to perform well under pressure to meet tight deadlines
  • Giving careful attention to detail, with capability to deliver high quality results
  • Potential to build trusted relationships confidently

Experience Required for Officer (C11)

  • Up to 2 years’ experience
  • Sound theoretical knowledge and some practical experience
  • Fewer years’ experience considered with advanced degrees

Experience Required for AVP (C12)

  • 3+ years’ experience
  • In-depth theoretical knowledge and appreciable practical experience
  • Fewer years’ experience considered with advanced degrees

What’s on offer?

The successful candidate will have the opportunity to work on a wide range of cutting-edge analytical problems, relevant for senior management decision making (CRO, CFO, Board) and regulatory management. He or she will interact with highly-experienced quantitative analyst and risk management professionals across multiple risk stripes and geographies, and in so doing gain an expansive view of the firm and its business lines. This is an opportunity to grow within a high-quality team quantitative analysts in a challenging area of the financial industry working for one of the world’s leading companies.

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