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Citibank, N.A. seeks a Model/Analysis/Validation Senior Analyst for its Tampa, Florida location. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.
Job Responsibility:
Support market risk analytics projects in multiple areas, including FRTB (Fundamental Review of the Trading Book), CCAR (Comprehensive Review of the Trading Book), and LIBOR (London Interbank Offered Rate) 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, including 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
Engage market risk managers and businesses on analytics-related matters
Develop and maintain technical documentation
Support various tasks in response to regulatory and internal risk management requirements
Requirements:
Master’s degree or foreign equivalent in Mathematics, Finance, Statistics, Engineering (any) or related field and 2 years of experience as a Quantitative Risk Analyst, Model/Validation/Analysis Analyst, Adjunct Lecturer, Research Officer or closely related position involving analyzing large and complex data sets
Alternatively, employer will accept a Bachelor’s degree in the stated fields and 5 years of the specified progressive, post-baccalaureate experience
Full span of experience must include: Conceptualizing, designing and implementing mathematical and statistical models
Testing and parameterizing models against measured data to assess model performance
Advanced analytics and risk model development in order to assess potential outliers, extreme values, staleness and other data quality issues
Computer programming and database languages, including Python, Visual Studio Code, GitHub Copilot, Structured Query Language, R, Windows and Linux
Risk model development for market risk, including Value-at-Risk and Risk-Weighted-Assets calculations
Advanced research in financial products and understanding regulatory requirements in order to address portfolio construction, optimization, performance management, attribution, profit and loss measurement and pricing models
and Technical writing, presentation & documentation
What we offer:
medical, dental & vision coverage
401(k)
life, accident, and disability insurance
wellness programs
paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays
discretionary and formulaic incentive and retention awards