Model/Analysis/Validation Senior Analyst

Citi • Tampa, FL

1d • Hybrid

About The Position

Citibank, N.A. seeks a Model/Analysis/Validation Senior Analyst for its Tampa, Florida location.
Duties: Support market risk analytics projects in multiple areas, including FRTB (Fundamental Review of the Trading Book), CCAR (Comprehensive Review of the Trading Book), and LIBOR (London Interbank Offered Rate) 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 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. Engage market risk managers and businesses on analytics-related matters. Develop and maintain technical documentation. Support various tasks in response to regulatory and internal risk management requirements. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements

• Requires a Master’s degree or foreign equivalent in Mathematics, Finance, Statistics, Engineering (any) or related field and 2 years of experience as a Quantitative Risk Analyst, Model/Validation/Analysis Analyst, Adjunct Lecturer, Research Officer or closely related position involving analyzing large and complex data sets.
• Alternatively, employer will accept a Bachelor’s degree in the stated fields and 5 years of the specified progressive, post-baccalaureate experience.
• Full span of experience must include: Conceptualizing, designing and implementing mathematical and statistical models; Testing and parameterizing models against measured data to assess model performance; Advanced analytics and risk model development in order to assess potential outliers, extreme values, staleness and other data quality issues; Computer programming and database languages, including Python, Visual Studio Code, GitHub Copilot, Structured Query Language, R, Windows and Linux; Risk model development for market risk, including Value-at-Risk and Risk-Weighted-Assets calculations; Advanced research in financial products and understanding regulatory requirements in order to address portfolio construction, optimization, performance management, attribution, profit and loss measurement and pricing models; and Technical writing, presentation & documentation.

Responsibilities

• Support market risk analytics projects in multiple areas, including FRTB (Fundamental Review of the Trading Book), CCAR (Comprehensive Review of the Trading Book), and LIBOR (London Interbank Offered Rate) 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 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.
• Engage market risk managers and businesses on analytics-related matters.
• Develop and maintain technical documentation.
• Support various tasks in response to regulatory and internal risk management requirements.

Benefits

• In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards.
• Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs.
• Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.
• For additional information regarding Citi employee benefits, please visit citibenefits.com.
• Available offerings may vary by jurisdiction, job level, and date of hire.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level