Counterparty Risk Analytics - Quantitative Analyst/Developer, VP

The Counterparty Risk Analytics team within Citi Quantitative Risk and Stress Testing group is looking to add a VP level Quantitative Analyst/Developer.

Team:

• The Counterparty Risk Analytics team is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures of OTC derivatives, Exchanged-Traded derivatives and Security Financing Transactions. The models are used for advanced Basel regulatory capital calculations, stress testing, and internal risk management measures.
• As a quant developer, you will be developing state of the art codebase used for model implementation, testing and providing analysis for the business. It is a great opportunity to work on some of the most challenging problems of the team and apply new technologies to meet business needs.

Key responsibilities include:

• Enhance counterparty credit exposure simulation, pricing, and margin/aggregation models for derivatives products, covering all major asset types
• Perform rigorous model testing for all production models, including back-testing, stress testing, and other testing involved in the model development process
• Analyze and provide comprehensive explanation of testing results to model reviewers including model validation, risk managers, and senior management
• Design, develop, test, release, maintain and improve counterparty credit risk models codebase for calibration, simulation and pricing across all major asset classes
• Work closely with model owners to streamline model implementation and testing

Qualifications:

• Master's Degree or equivalent in STEM or other quantitative fields required (Mathematics, Statistics, Financial Engineering, Quantitative Finance etc.) with 3-5 years of Quantitative experience.
• Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second Master's degree, CPA or CFA
• 3+ years of professional experience developing quantitative libraries for financial products
• Strong object-oriented programming skills in C++ or Python with experience in parallel computing, cloud(Amazon Web Service) a plus
• Solid background in mathematics/finance including: stochastic calculus, linear algebra, numerical methods, derivative modeling
• Strong work ethic and a team player with excellent time management skills and ability to multi-task
• Great communications skills in both verbal and written

Job Family Group:
Risk Management

Job Family:
Risk Analytics, Modeling, and Validation

Time Type:
Full time

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