Counterparty Risk Analytics - Quantitative Analyst/Developer, VP

Recruiter
Citi
Location
New York, USA
Salary
Competitive
Posted
27 Nov 2020
Closes
12 Dec 2020
Ref
9172336
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
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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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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