Model/Analysis/Validation Senior Analyst

Citigroup Global Markets Inc. seeks a Model/Analysis/Validation Senior Analyst for its Tampa, Florida 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 simulated market context. Evaluate counterparty exposure profiles generated by derivative portfolios and model effect of collateral exchange between counterparties. Conduct ad-hoc exposure investigations for existing portfolios and prospective trades. Drive effort on implementation of completed model enhancements for production. Maintain and update model documentation, liaise with Risk Management, Model Risk, Finance and Governance teams to facilitate timely model validation, regulatory applications, approvals and subsequent releases. Develop mathematical framework to address limitations, non-modeled risk and other deficiencies in models in response to internal, business, risk management or regulatory findings. Identify, evaluate and report on nature, purpose and expected impact of changes introduced to models. Produce prototype implementations to be used throughout model lifecycle. Evaluate impact of pricing model changes on major CCR metrics. Enhance and support periodic upgrades of 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: Requires a Master’s degree, or foreign equivalent, in Quantitative Finance, Mathematics, Applied Mathematics, Statistics, or related and 2 years of experience as a Quantitative Analyst, Financial Engineer, Model/Analysis/Validation Senior Analyst, Associate, or related position involving financial counterparty credit risk analysis. 2 years of experience must include: Numerical analysis; Partial differential equations; Programming in Python with Pandas and Numpy; Programming in C++; Linux operating system environment; Version control management tools; Parallel computing techniques; and Relational data modeling. 1 year of experience must include: Stochastic process applications; Financial Derivatives and their pricing methods; and Counterparty Credit Risk (CCR) fundamentals. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #25860162. EO Employer.

Wage Range:                $111,513 to $111,513

Job Family Group:        Risk Management

Job Family:                  Risk Analytics and Modeling

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

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 employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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 Citi’s EEO Policy Statement and the Know Your Rights poster.