Key Responsibilities:

The Market Risk Analytics team is responsible for developing and maintaining market risk models used for both risk management and regulatory capital purpose. These models currently include Value-at-Risk (VaR), Stressed VaR (SVaR), Incremental Risk Charge (IRC) for trading book migration and default risk, and Comprehensive Risk Measure (CRM) for credit correlation trading.

The team also maintains the Citi Market Risk Exposure Specification, which provides a set of consistent risk sensitivity measures across the firm. In performing the ongoing calibration of the market risk models, the team also specifies, collect, verify, and maintain historical time series of the market factors. In addition, the team mandate also includes obtaining approval on market risk models for Basel regulatory capital calculation, preparing Citi for future regulation changes (e.g. FRTB), as well as providing quantitative analysis and support to Market Risk Managers.

The successful candidate will be responsible for:

• Develop methodologies, algorithms and diagnostic tools for testing model robustness, stability and performance.
• Perform reliability analysis and quality control of modeling data and model results.
• Develop and maintain technical documentation for default likelihood and rating migration methodologies and applications; including project plans, model descriptions, mathematical derivations, data analysis, process and quality controls.
• Participate in the implementation of analytical tools by reporting functions, and the migration of models to the production environment.
• Engage business risk managers, clients and partners in the analysis and interpretation of results, incorporating their feedback as appropriate into models.
• Provide timely and accurate response to clients, partners and management.
• Participate in discussions with model validation, internal and external audits and regulatory reviews.
• Prepare and delivering training materials, presentations and reports on credit risk analytics for technical and non-technical audiences.

Qualifications:

• Minimum of a Master’s degree in quantitative field (e.g. mathematics, physics, statistics, engineering, economics, finance, financial engineering, etc.) with 2+ years of relevant experience.
• Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second Master’s degree, CPA or CFA
• Solid programming skills and experience with statistical and data analysis, modeling techniques and numerical implementations. More specifically experience in C/C++, Java, SAS, Python, R and Perl, shell scripts, UNIX, VBA and basic database skills in either Oracle or Sybase/SQL.
• Experience in quantitative finance or a related field, analyzing large and complex data sets, data reliability analysis, quality controls and data processing preferred.
• Keen interest in banking and finance, especially in the field of Risk Management.
• Experience of one or more of the following is an advantage but not essential: derivative pricing and exotic products; risk management practices and procedures; numerical methods; Monte Carlo simulations; statistical hypotheses testing; credit risk modeling and risk management or related areas.
• Basic understanding of financial products in the trading book (equity, fixed income, derivatives, etc.) and their market drivers (price, interest rates, implied volatilities). Basic understanding of the Value-at-Risk (VaR) model and historical simulation framework.
• Excellent written and verbal communication skills, and ability to discuss technical issues with clients, peers, auditors, regulators and senior management.
• Proven experience in developing and maintaining detailed technical documentation for models, model validation, project plans and processes.
• Accountable for end-to-end deliverables. Ability to meet deadlines for product deliverables in a timely, proactive and entrepreneurial manor.
• Strong interpersonal skills and the ability to foster a collaborative environment
• Organized, disciplined and detail oriented with sound problem-solving skills, and the ability to think creatively.

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Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - US

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Time Type :Full time

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