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Citigroup Global Markets Inc. seeks a Model/Anlys/Valid Officer for its New York, New York 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:
Develop quantitative models in C++ to compute Credit Value Adjustment, Funding Valuation Adjustment on spread product netting sets, which involves modeling the pricing of Credit Derivatives Swap, index options, and Collateralized Debt Obligations
Create, implement and support quantitative models leveraging a variety of mathematical methods including Monte Carlo simulations with Hull-White and Cox-Ingersoll-Ross models and correlation structures via Copulas
Support X-Value Adjustment (XVA) Traders, Structurers, capital management desks on appropriate assessment of risk/reward of transactions when making business decisions using quantitative tools such as Python
Engineer on model and data structure to improve the calculation speed and performance to provide timely profit & loss and risk analytics to the trading desk
Coordinate with IT team to build and deploy interfaces to integrate the Credit CVA models into the Central Cross Asset XVA models
Collaborate closely with control functions such as Legal, Compliance, Market and Credit Risk, Audit, and Finance in order to ensure appropriate governance and control infrastructure
Refine and adjust the model to account for market conditions and business demand
Maintain detailed documentation of model assumptions, methodologies and results
Requirements:
Requires a Bachelor’s degree, or foreign equivalent, in Economics, Mathematics, Statistics or related field
2 years of experience as Risk Manager, Quantitative Analysis Program Analyst, Trader or related position involving developing and maintaining quantitative techniques in trading for a financial services institution
2 years of experience must include: Programming in C++ and Python to support pricing and risk analysis
Developing quantitative model to price XVA netting sets
Credit products including structure, payoff, risk, and pricing to support credit XVA trading desks
Statistics and probability to evaluate financial instruments risks
Market data to support XVA modelling and pricing
Implementing regulatory risk calculations under FRTB framework
Monitoring Monte Carlo simulations
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