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Model/Anlys/Valid Officer - VP

Job Req ID 22530232 Primary Location Tampa, Florida Job Category Risk Management
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Counterparty Risk Analytics (CRA)

Counterparty Risk Analytics (CRA) is part of the Risk Modelling & Analysis (RMA) group. CRA’s mandate is to develop, maintain, and enhance 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.

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 support for regulatory and internal stress testing. It involves scenario translation, calibration of parameters and repricing involving derivatives, & security financing products. The exercise generates stress numbers which are used by the firm to make capital related decisions.

Responsibilities:

  • Research, develop, and implement models for counterparty credit, including stress risk capital and stress testing.
  • Develop and implement methodologies, algorithms and diagnostic tools for testing model robustness, stability, reliability, performance, and quality control of modelling data.
  • Develop, maintain, and enhance technical and non-technical documentation, including project plans, model descriptions, mathematical derivations, data analyses, processes and quality controls
  • Support various tasks in response to regulatory and internal risk management requirements.
  • Enhance counterparty credit exposure simulation, pricing, and margin/aggregation models for derivatives products, covering all major asset classes.
  • Perform rigorous model testing as part of new model development and enhancement of existing models.
  • Provide comprehensive analytical support to all model stakeholders.
  • Contribute model prototype and testing code to the team's codebase, as well as to facilitate implementation of such models with the Risk IT.

Qualification:

  • Ph.D. or equivalent in a quantitative field (Math, Statistics, Physics, Quantitative Finance etc.) with at least two years of post-graduation  experience.
  • Strong knowledge of Algebra, Numerical Methods, Probability/Statistics and Stochastic Calculus.
  • Working knowledge of Python including Numpy and Pandas is essential.
  • Knowledge of Quant Finance foundations is a strong plus.
  • Good verbal and written communication is very important.

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 Python, R, using statistical packages, C/C++, UNIX, databases, and version control systems is particularly advantageous
  • Excellent written and verbal communication skills, with ability to synthesize complex technical information and explain it clearly, is required
  • For more senior applicants, 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 at all levels

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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.

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    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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