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Model Developer- Market Risk Analytics, VP

Company: Citigroup Inc.
Location: Irving
Posted on: September 13, 2020

Job Description:

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Career Opportunity Model Developer- Market Risk Analytics, VP Apply Now Locations: Irving, Texas Job Function: Risk Management Employee Status: Regular Job ID: 20192638 The Quantitative Risk and Stress Testing (QRS) group is part of the Citi’s Risk Management Organization, responsible for design and build models and methodologies used by Citi to identify and measure our risk taking activities. These include coverage of Market Risk, Counterparty Credit Risk, Wholesale and Retail loan loss reserve and capital, Economic Forecasting, and Risk Capital models.

As a member in Market Risk Analytics, the role will develop, implement, test, and maintain quantitative models to measure market risk for trading book products across all asset class.Responsibilities include:

Gain understanding of the current market risk model framework, perform model analysis and model parameters updates as required.

Develop and enhance the current models and processes according to Model Risk Management Policy requirement.

Contribute to the new model and process development for FRTB (the future market risk regulatory capital rule that will become effective in 2022).

Interact with stakeholders in model life cycle, including market risk managers (as model sponsor), front office data provider, technology (for model implementation), and model validation team. Interaction with regulators may be required.

Provide support to risk managers and businesses on market risk model related topics.

Qualifications:

Good quantitative skills with the knowledge and experience of building mathematical models

Good programming skills in programming language such as Python, R, C++. Familiarity with Windows and UNIX/Linux operating environment.

Clear and concise communication skills, both written and verbal

Self-motivated and detail oriented, capability to handle multiple projects at the same time.

Prior knowledge of trading book products is a plus.

Education:

Master’s Degree or equivalent in STEM or other quantitative fields required (Mathematics, Statistics, Financial Engineering, Quantitative Finance etc.) with 6+ years of Quantitative 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

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

Time Type : ------------------------------------------------------

Citi is an equal opportunity and affirmative action employer.

Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.

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 CLICK HERE .

To view the "EEO is the Law" poster CLICK HERE . To view the EEO is the Law Supplement CLICK HERE .

To view the EEO Policy Statement CLICK HERE .

To view the Pay Transparency Posting CLICK HERE .

Apply Now

© 2020 Citigroup Inc. 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 review Accessibility at Citi .

View the "EEO is the Law" poster. View the EEO is the Law Supplement .

View the EEO Policy Statement .

View the Pay Transparency Posting .

Keywords: Citigroup Inc., Irving , Model Developer- Market Risk Analytics, VP, Other , Irving, Texas

Click here to apply!

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