Counterparty Risk Analytics - Quantitative Analyst/Developer, VP
- Employer
- Citi
- Location
- New York, USA
- Salary
- Competitive
- Closing date
- Oct 16, 2020
View more
- Job Function
- Risk Management
- Industry Sector
- Finance - General
- Employment Type
- Full Time
- Education
- Bachelors
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The Counterparty Risk Analytics team within Citi Quantitative Risk and Stress Testing group is looking to add a VP level Quantitative Analyst/Developer.
Team:
Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - US
Time Type :Full time
Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.
Citigroup Inc. and its subsidiaries ("Citi") invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity CLICK HERE .
To view the "EEO is the Law" poster CLICK HERE . To view the EEO is the Law Supplement CLICK HERE .
To view the EEO Policy Statement CLICK HERE .
To view the Pay Transparency Posting CLICK HERE .
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.
- 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
- 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
Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - US
Time Type :Full time
Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.
Citigroup Inc. and its subsidiaries ("Citi") invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity CLICK HERE .
To view the "EEO is the Law" poster CLICK HERE . To view the EEO is the Law Supplement CLICK HERE .
To view the EEO Policy Statement CLICK HERE .
To view the Pay Transparency Posting CLICK HERE .
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