Quantitative Risk Analyst - AVP

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Quantitative Risk Analyst - AVP-18075140
Description
 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. 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: 
  • Supporting the development advanced probability of default and rating migration models for wholesale credit portfolios.   
  • 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
 
  • Masters in Statistics, Math, Quantitative Finance / or an Applied Science. PhD highly preferred.
  • with 5+ years of experience in Finance or related field.
  • 1 year proven experience in banking-book products, risk analytics for wholesale stress testing for credit portfolios, credit risk modeling and risk management or related areas preferred.
  • Accountable for end-to-end deliverables.
  • Ability to meet deadlines for product deliverables in a timely, proactive and entrepreneurial manor.
  • Working knowledge of credit data reliability analysis, quality controls and data processing.     
  • Experience with statistical analysis, modeling techniques and numerical implementations (C, C++, VB, Java, R, Python, SAS, SQL).   
  • Proven experience in developing and maintaining detailed technical documentation for models, model validation, project plans and processes.    
  • Excellent written and verbal communication skills, and ability to discuss technical issues with clients, peers, auditors, regulators and senior management.
  EEO Statement: Citi is an equal opportunity and affirmative action employer. Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity  Pay Transparency: Citi won’t discriminate against anyone for discussing pay, but those with access to pay data in their work can’t disclose it unless responding to complaints/investigations or legal requirements.



11 February 2019
Location: United States Flevoland Tampa
Work type:
Full time
Sector:
Banking and Financial Services
Profession:
Other
PLEASE! No enquiries from Recruitment Agencies or Headhunters.

Only direct applications will be considered.

This career opportunity is no longer open.
Please search for current vacancies here.


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