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Model Analytics Sr. Officer I - Risk Capital, SVP

Company: Citigroup Inc.
Location: Irving
Posted on: June 9, 2021

Job Description:

Risk Capital is a firm-wide metric to measure economic capital usage at the consolidated Citigroup and CBNA levels as well at the detailed business unit level. It is reported to regulators and the Board as a key capital adequacy metric for Citigroup and its major legal entities (MLE). Risk Capital is also used extensively in various risk areas to set risk limits and to assess the risk-adjusted profitability of large transactions. Risk Appetite Ratio (RAR) and Risk Appetite Surplus (RAS) are firm-wide metrics to measure risk-adjusted earnings power at the consolidated Citigroup and CBNA level as well at the detailed business unit level. Risk Capital and RAR/RAS metrics are both important quantitative measurements that form part of Citi's overall Risk Appetite Framework (RAF). With the regulatory focus on Risk Appetite Framework and Concentration Risk management, Risk Capital based limits and RAR/RAS are expected to become a critical part of Citi's internal risk management framework.

Key Responsibilities:

  • Develop/enhance risk capital and stress testing models for market risk
  • Develop analytics to measure market risk, stress testing, Wrong Way Risk, concentration risk and default correlations.
  • Implement model analytics/libraries and develop associated analytical tools, using C++, Python or VBA
  • Assist testing efforts and support requirements from Model Risk Management, participate in full model development, model documentation, model validation and ongoing performance monitoring cycles
  • Lead and train junior team members.

Qualifications:

  • Masters and above degree in a quantitative discipline such as mathematics, financial engineering, physics, statistics, computer science
  • 7+ years of experience in risk/pricing analytics, or quantitativeprogramming roles in a financial institution
  • Excellent experiences with model development in market risk or credit risk.
  • Experience with risk capital, stress testing and WWR is a plus.
  • Strong communicator, self-starter, and team player.
  • Proficient in Python and VBA. Familiar with C++ or Java.
  • Experience with model implementations and model library development.

Keywords: Citigroup Inc., Irving , Model Analytics Sr. Officer I - Risk Capital, SVP, Other , Irving, Texas

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