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Model Validation Quant – Initial Margin & Stress Testing (for Market and Counterparty Credit Risk) – AVP – Tampa FL

Job Req ID 21368013 Primary Location Tampa, Florida Job Category Risk Management
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The Model Risk Management (MRM) organization provides oversight for the Model Risk Management Framework, which consists of the policy, processes, and procedures through which Citi identifies, measures, manages, monitors, reports, and controls model risk across the firm. This position is a unique opportunity to learn how the trading book models are developed and validated in a Tier one Global Investment Bank.

Citi's Institutional Clients Group is comprised of diverse, talented professionals globally located in more than 100 countries and territories, collectively representing an unparalleled international network of financial skills and capabilities serving targeted clients. Our clients are top corporations, financial institutions and governments in countries around the world and our mission is to help them achieve their goals.

Responsibilities

We are looking for model validation quants for the Market Risk and Counterparty Credit Risk validation team within Citi MRM, covering models in the following areas:

  • Initial Margin models, e.g. SIMM
  • Comprehensive Capital Analysis and Review (CCAR) trading book risk models
  • Internal Capital Adequacy Assessment Process (ICAAP) models covering different countries and legal entities globally

The validation covers both technical and functional aspects, including model assumptions, conceptual soundness, mathematical formulation, model calibration, and model performance, as well as the functional assessment of using the model for regulatory and business applications. Job responsibilities include reviewing models and identifying shortcomings, performing validation tests, discussing findings with senior stakeholders, writing validation reports, and managing model risk on an ongoing basis.

Qualifications:

  • Knowledge of financial instruments, simulation and pricing methodologies, risk estimation and regulatory requirements (prior knowledge of trading book products is a plus)
  • Sound knowledge of mathematical analysis, algebra, numerical methods and statistics
  • Clear and concise communication skills, both verbal and written
  • Solid writing skills. Publications in peer-reviewed journals are considered as good evidence
  • Programming skills in languages like Python, MATLAB, C/C++/C#, VBA
  • Self-motivated and detail oriented, capability to handle multiple projects at the same time
  • Ability to work independently

Education:

  • A Master’s degree (Ph.D.’s degree preferred) in a quantitative field (e.g. Mathematics, Physics, Engineering, Finance, Economics, Statistics) with relevant coursework and experience

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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:

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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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We foster a culture that embraces all individuals and encourages diverse perspectives, where you can make an impact and grow your career. At Citi, we value colleagues that demonstrate high professional standards, a strong sense of integrity and generosity, intellectual curiosity, and rigor. We recognize the importance of owning your career, with the commitment that if you do, we promise to meet you more than half way.

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