Model Analysis Sr. Analyst, AVP- Market Risk Analytics
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Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.
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The successful candidate will
- Support market risk analytics projects in multiple areas, 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 include 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 (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
- 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.
- 2-3 years relevant experience. Candidates with less than two years of relevant experience will be considered if they have additional academic and/or professional credentials such as a PhD, a second Master's degree, or a CFA designation
- Strong technical skills, proficiency in a computational language such as Python or R is required; familiarity with SQL and UNIX is a plus;
- Experience with analyzing large and complex data sets;
Good verbal and written communication skills Job Family Group:
Risk Management Job Family:
Risk Analytics, Modeling, and Validation Time Type:
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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.
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