Citibank, N.A. seeks a Model/Analysis/Validation Officer for its New York, New York location.
Duties: Support market risk modeling and analytics projects for Fundamental Review of the Trading Book (FRTB), Comprehensive Review of the Trading Book (CCAR) and London Interbank Offered Rate (LIBOR) transition areas. Utilize mathematical and statistical theories and methods to develop historical scenario generation models for credit products. Use Linux, SQL database, and object-oriented programming to develop market risk models critical for quantifying market risk exposures of trading book and calculating regulatory capital, including Default Risk Charge (DRC) and Facility Risk Rating (FRR). Perform analysis based on business, requirement and risk infrastructure. Conduct research to build models, perform model testing, develop technical documentation, work with internal partners and regulators to get approval of models. Implement advanced mathematical and statistical models using Python and C++ program. Use parallel computing techniques to perform models back testing, stress testing, and profit attribution analysis. Support compliance efforts in response to regulatory and internal risk management requirements. Perform impact analysis to support business decision and explain model-related issues to stakeholders. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.
Requirements: Requires a Master's degree, or foreign equivalent, in Finance, Economics, Mathematics, Statistics or related field and 2 years of experience as a Model/Analysis/Validation Senior Analyst, Financial Quantitative Analyst or related position involving risk analysis model development and implementation within the financial services industry. 2 years of experience must include: Mathematical and statistical theories and methods: applied linear statistical methods and generalized linear models, nonparametric inference, time series analysis and stochastic processes, optimization and option pricing; Object oriented programming in Python and C++; Linux; SQL database; Calibration and variance analysis of time series and risk factors; Financial products; Pricing models for financial products; Risk management techniques: Value at Risk (VaR) and Backtesting; and Regulatory frameworks: Basel 2.5, Fundamental Review of the Trading Book (FRTB) and Comprehensive Review (CCAR). Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #24805160. EO Employer.
Wage Range: $155,670 to $200,000
Job Family Group: Risk Management
Job Family: Risk Analytics, Modeling, and Validation
------------------------------------------------------
Job Family Group:
------------------------------------------------------
Job Family:
------------------------------------------------------
Time Type:
Full time------------------------------------------------------
Primary Location:
New York New York United States------------------------------------------------------
Primary Location Full Time Salary Range:
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.
------------------------------------------------------
Anticipated Posting Close Date:
Feb 03, 2025------------------------------------------------------
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.
View the "EEO is the Law" poster. View theEEO is the Law Supplement .
View theEEO Policy Statement .
View thePay Transparency Posting