We are looking for a quantitative analyst with a strong analytical background with a quantitative degree to join our team in the Model Risk Management group.
The analyst will be responsible for a comprehensive assessment of models used within Citi. Our validations cover the technical assessment of adequacy of the modeling data and assumptions, conceptual soundness and mathematical formulation, model performance, as well as the functional assessment of using the model for regulatory and business applications.
This position is a unique opportunity to learn how models are developed and validated in an organization such as Citi, which has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions.
Model Risk Management group is currently looking for a person who will support the validation of risk models, including, but not limited to, market and counterparty risk, economic risk capital and margin models.
- Perform conceptual and quantitative work to challenge models, in order to assess their accuracy and robustness
- Implement variety of tests aimed to examine model’s behavior under different scenarios and market conditions
- Close collaboration with senior personnel in delivering high-quality validation reports and highlighting risks and limitations of the models
- Being up-to-date with newest modeling techniques used in the industry and academic research
- Quantitative background (e.g. mathematics, physics, statistics) with sound knowledge of stochastic calculus, statistics and Monte Carlo simulations
- Professional experience in either validation, model development, market risk or counterparty credit risk would be highly advantageous
- Programming skills: Python/R/C++ (at least one of them on an advanced level)
- Knowledge of financial markets and products would be an asset
- Strong communication skills both verbal and written
- Opportunity to work on variety of risk models and to develop and expand your knowledge in quantitative analysis field
- Cooperation with a high-quality team in a challenging area of the financial industry with one of the world's leading companies
- Centrally located, state-of-the-art workplace, which boosts productivity and provides the employees with areas designed specifically for team building and relax
- Access to the latest technologies and tools
- Exposure to a wide range of internal stakeholders as well as to senior management
- Package of trainings
- Flexibility in working hours
- International working environment
- Attractive conditions of employment and benefit