Quantitative Analyst - AVP (Hybrid)

About Citi:

Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.

Citi’s Mission and Value Proposition explains what we do and Citi Leadership Standards explain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients’ and the public’s trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.

Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.

Responsibilities:

• Develops, enhances, and validates the methods of measuring and analyzing risk and addresses deficiency of current counterparty credit risk models.
• Performs rigorous ongoing model performance tests for all counterparty credit risk models in production regularly by means of backtesting, impact analysis, statistical analysis, etc.
• Enhances BAU backtesting to meet the regulatory guidelines.
• Prepares detailed technical documentation report for validation purposes sufficient to meet regulatory guidelines and exceed industry standards.
• Present key findings in model development and enhancement to senior management and supervisory authorities.
• Support trading book credit risk management: calculate portfolio level counterparty exposure such as EPE, EAD, CVA, used for both internal risk management, regulatory capital calculation and stress testing.
• Develops unified library package to automate the ongoing model performance monitoring and create related unit tests for coding quality assessment.
• Develops tutorials and documentation for widespread library usage among quantitative risk team members and risk managers.

Qualifications:

• ​Proficiency in programming language (e.g. Python, R, C++, shell scripts) is required
• Solid knowledge in applied mathematics (e.g. martingale, stochastic process and stochastic calculus), statistics (e.g. probability theory, hypothesis testing and sampling), numerical methods (e.g. Monte Carlo techniques).
• Experience in analyzing large and complex datasets.
• Experience in developing and maintaining detailed technical documentation for models, model validation, project plans and processes.
• Experience in quantitative finance ore a related field (e.g. financial derivatives and pricing methodology) preferred
• Proficient in Microsoft Office with an emphasis on MS Excel
• Consistently demonstrates clear and concise written and verbal communication skills
• Self-motivated and detail oriented
• Demonstrated project management and organizational skills and capability to handle multiple projects at one time

Education:

• Master's degree in quantitative field (e.g. quantitative finance, finance engineering, economics, computer science, statistics, mathematics, engineering, etc.) with 2+ years of relevant experience OR Ph.D. degree in quantitative field (e.g. quantitative finance, finance engineering, economics, computer science, statistics, mathematics, engineering, etc.) with research experience in modeling and numerical simulation.

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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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Anticipated Posting Close Date:

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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.

Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. 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.

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