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Quantitative Risk, Model Developer- Market Risk Analytics - Irving, United States - Citi
Description
The Model Analysis Officer is a strategic professional who stays abreast of developments within own field and contributes to directional strategy by considering their application in own job and the business.
Developed communication and diplomacy skills are required in order to guide, influence and convince others, in particular colleagues in other areas and occasional external customers.
Significant impact on the area through complex deliverables. Provides advice and counsel related to the technology or operations of the business. Work impacts an entire area, which eventually affects the overall performance and effectiveness of the sub-function/job family.Responsibilities:
Support market risk analytics projects in multiple areas, including FRTB (Fundamental Review of the Trading Book, the next generation of market risk regulatory framework) CCAR (Comprehensive Review of the Trading Book), and LIBOR transition;
Develop market risk models critical for quantifying the market risk exposures of Citi's trading book and calculating regulatory capital;
Collaborate with other teams include Risk IT to implement new models, resolve production issues and enhance existing implementation;
Calibrate model parameters, perform variance analysis to explain the changes in model output due to parameter updates;
Perform ongoing analysis of models, including backtesting and profit attribution analysis (PAA);
On a regular basis, engage market risk managers and the businesses on analytics-related matters;
Develop and maintain technical documentation;
Support various tasks in response to regulatory and internal risk management requirements
Qualifications:
Master's Degree or equivalent in STEM or other quantitative fields required (Mathematics, Statistics, Financial Engineering, Quantitative Finance etc.) with 6+ years of Quantitative experience.
Strong technical skills, proficiency in a computational language such as Python or R is required; familiarity with SQL and UNIX is a plus;
Experience with analyzing large and complex data sets;
Good verbal and written communication skills
Job Family Group:
Risk Management
Job Family:
Risk Analytics, Modeling, and Validation
Time Type:
Full time
Primary Location:
Irving Texas United States
Primary Location Salary Range:
$125, $188,640.00
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 reviewAccessibility at Citi
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Quantitative Risk, Model Developer- Market Risk Analytics professionals in Irving
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Shukier Lovick
Recruiter
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Padmaja Mohan Veeranki
Sr.Software QA Engineer