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Quantitative Risk, Model Developer- Market Risk Analytics - SVP

Company: Citigroup Inc.
Location: Irving
Posted on: June 12, 2021

Job Description:

Citi's technology team is growing at lightning speed, and we're looking for talented technologists to help build the future of global banking. Our teams are creating innovations used across the globe - we're changing the way people bank and how the world does business. Citi's technology team supports business operations in 100+ countries, across multiple lines of business spanning both Institutional and retail businesses. The group works to optimize the IT environment by standardizing production platforms, reducing complexity, and introducing innovative solutions that provide new business capabilities, reduce total cost of ownership, and create a competitive advantage for Citi. Join an environment with a laser focus on growth and progress, and take your career to the next level through the power of Citi's unmatched globality and vast expertise.

  • The Model/Anlys/Valid Group Mgr is accountable for management of complex/critical/large professional disciplinary areas. Leads and directs a team of professionals. Requires a comprehensive understanding of multiple areas within a function and how they interact in order to achieve the objectives of the function. Applies in-depth understanding of the business impact of technical contributions. Strong commercial awareness is a necessity. Generally accountable for delivery of a full range of services to one or more businesses/ geographic regions. Excellent communication skills required in order to negotiate internally, often at a senior level. Some external communication may be necessary. Accountable for the end results of an area. Exercises control over resources, policy formulation and planning. Primarily affects a sub-function. Involved in short- to medium-term planning of actions and resources for own area.
  • Full management responsibility of a team or multiple teams, including management of people, budget and planning, to include performance evaluation, compensation, hiring, disciplinary actions and terminations and budget approval.
  • Responsibilities:
  • Develops, enhances, and validates the methods of measuring and analyzing risk, for all risk types including market, credit and operational. Also, may develop, validate and strategize uses of scoring models and scoring model related policies.
  • Full management responsibility of a team or multiple teams, including management of people, budget and planning, to include performance evaluation, compensation, hiring, disciplinary actions and terminations and budget approval.
  • Develop models and oversee model development, validation, and deployment efforts.
  • Advances Risk Management methodology and integrate models into business decisions and planning.
  • Manage successful annual quantitative and qualitative assessments and submissions.
  • Works with large datasets and complex algorithms to solve data science challenges.
  • Leverages big data to develop innovative deployable solutions.
  • Help introduce best-in-class, cutting edge Model techniques to drive profitability through innovation.
  • Ensures timely model performance tracking, and assist in process automation to drastically improve process/operation efficiencies (where possible) that will enable the business to make rapid decisions against market condition changes
  • Ensures the compliance of development and validation of models with respect to internal and external guidelines.
  • Supports the development of training curriculum and standards
  • Partners with Risk and Decision Management organizations to understand the source of new data and continue to improve the process of defining, extracting and utilizing the new data
  • Interacts with senior levels of management to facilitate understanding of usage of risk models and inform critical decisions.
  • Provide leadership and guidance for junior modelers.
  • Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency, as well as effectively supervise the activity of others and create accountability with those who fail to maintain these standards.

Qualifications:

  • Sound knowledge of statistical modeling concepts and industry best practices; experience with econometric and statistical modeling or application risk scoring.
  • Excellent quantitative and analytic skills; ability to derive patterns, trends and insights, and perform risk/reward trade-off analysis.
  • Experience with analytical or data manipulation tools (e.g. SAS, SQL, R, C Programming in UNIX) Proficient with MS Office suite
  • Practical knowledge of trading-book products including common derivative products
  • Ability to deliver compelling presentations and influence executive audiences.
  • Excellent communicator; ability to explain complex concepts in plain language.
  • Ability to drive innovation via thought leadership while maintaining end-to-end view.
  • Effective cross-functional project, resource, and stakeholder management; effectively engage with internal audit and external regulators.
  • Experience working in Big data environments; Intellectual curiosity to stay abreast of technological advances.
  • At least six years relevant experience.

Education:

  • A post-graduate degree (master's or above) in a field with solid quantitative background, such as applied mathematics, statistics, computer science, physics or engineering

Additional Responsibilities

  • Lead or support market risk analytics projects in multiple areas and across asset classes, including FRTB (Fundamental Review of the Trading Book, the next generation of market risk regulatory framework) CCAR (Comprehensive Review of the Trading Book) and LIBOR 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 Global Market Risk, Markets Quantitative Analysis and Technology to develop and implement new models, enhance existing models and resolve production issues;
  • 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 (PAA);
  • On a regular basis, engage market risk managers and the businesses on analytics-related matters;
  • Develop and maintain technical documentation;
  • Support various tasks in response to regulatory and internal risk management requirements

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

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