Model/Analysis/Validation Officer

Citigroup Global Markets Inc. seeks a Model/Analysis/Validation Officer for its Tampa, FL 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 for implementation of completed model enhancements for production. Maintain and update model documentation, liaise with Risk Management, Model Risk, Finance, and Technology 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 quantitative field, and two (2) years of experience in the job offered, or in a related occupation developing and implementing models in the financial services industry. Two (2) years of experience must include: Identifying sources and mitigants of counterparty credit risk (CCR); Integration of exchange-traded STIR and Government Bond futures and options to Monte-Carlo simulation framework for CCR; Integration of OTC FX and Interest Rates derivatives including exotics such as Barrier/Knock-out options and callable swaps in Monte-Carlo simulation framework for CCR; Pricing methods of FX and Interest Rates derivatives, understanding of their risk factors and computational complexity; Application of numerical and statistical analysis for out-of-sample evaluation of predictive models; Development of quantitative libraries and applications in Python and C++ under Linux and Windows; Utilization of Git source control systems in a team development environment; and Application of parallel computing for data and CPU-intensive process scaling. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/.  Please reference Job ID #25833256. EO Employer.

Wage Range:                $124,200.00 to $124,200.00

Job Family Group:        Risk Management

Job Family:                  Risk Analytics, Modeling, and Validation

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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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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.

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