Model/Anlys/Valid Officer

Citi • New York, NY

11d • Hybrid

About The Position

Citigroup Global Markets Inc. seeks a/ Model/Anlys/Valid Officer for its New York, New York location.
Duties: Develop quantitative models in C++ to compute Credit Value Adjustment, Funding Valuation Adjustment on spread product netting sets, which involves modeling the pricing of Credit Derivatives Swap, index options, and Collateralized Debt Obligations. Create, implement and support quantitative models leveraging a variety of mathematical methods including Monte Carlo simulations with Hull-White and Cox-Ingersoll-Ross models and correlation structures via Copulas. Support X-Value Adjustment (XVA) Traders, Structurers, capital management desks on appropriate assessment of risk/reward of transactions when making business decisions using quantitative tools such as Python. Engineer on model and data structure to improve the calculation speed and performance to provide timely profit & loss and risk analytics to the trading desk. Coordinate with IT team to build and deploy interfaces to integrate the Credit CVA models into the Central Cross Asset XVA models. Collaborate closely with control functions such as Legal, Compliance, Market and Credit Risk, Audit, and Finance in order to ensure appropriate governance and control infrastructure. Refine and adjust the model to account for market conditions and business demand. Maintain detailed documentation of model assumptions, methodologies and results. 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 Bachelor’s degree, or foreign equivalent, in Economics, Mathematics, Statistics or related field and 2 years of experience as Risk Manager, Quantitative Analysis Program Analyst, Trader or related position involving developing and maintaining quantitative techniques in trading for a financial services institution.
• 2 years of experience must include: Programming in C++ and Python to support pricing and risk analysis; Developing quantitative model to price XVA netting sets; Credit products including structure, payoff, risk, and pricing to support credit XVA trading desks; Statistics and probability to evaluate financial instruments risks; Market data to support XVA modelling and pricing; Implementing regulatory risk calculations under FRTB framework; Monitoring Monte Carlo simulations.

Responsibilities

• Develop quantitative models in C++ to compute Credit Value Adjustment, Funding Valuation Adjustment on spread product netting sets, which involves modeling the pricing of Credit Derivatives Swap, index options, and Collateralized Debt Obligations.
• Create, implement and support quantitative models leveraging a variety of mathematical methods including Monte Carlo simulations with Hull-White and Cox-Ingersoll-Ross models and correlation structures via Copulas.
• Support X-Value Adjustment (XVA) Traders, Structurers, capital management desks on appropriate assessment of risk/reward of transactions when making business decisions using quantitative tools such as Python.
• Engineer on model and data structure to improve the calculation speed and performance to provide timely profit & loss and risk analytics to the trading desk.
• Coordinate with IT team to build and deploy interfaces to integrate the Credit CVA models into the Central Cross Asset XVA models.
• Collaborate closely with control functions such as Legal, Compliance, Market and Credit Risk, Audit, and Finance in order to ensure appropriate governance and control infrastructure.
• Refine and adjust the model to account for market conditions and business demand.
• Maintain detailed documentation of model assumptions, methodologies and results.

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.

What This Job Offers

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