AVP, Risk Capital Model Analyst (Hybrid)

Risk Capital is a firm-wide metric to access the economic risk at the consolidated Citigroup and CBNA levels. It is a key capital adequacy metric for Citigroup and its major legal entities (MLE), and is used in various risk areas to set risk limits for monitoring the firm’s risk footprint across different business, products, and regions.

The role to be filled in this team would be responsible for leading the effort of re-engineering the model implementation and production process for a multitude of risk capital calculations covering risk stripes including wholesale, trading, and banking book portfolios. The qualified candidate would lead several projects to greatly improve the implementation of these models, reduce computational demand, streamline production process for better automation and faster execution. Apart from reducing the production delay, these projects also aim at enhancing our capability of supporting additional analytics such as what-if and sensitivity analysis.

Responsibilities:

• Improve RC model accuracy and reduce model complexity
• Refactor the risk capital simulation library to reduce computational demand and runtime.
• Re-engineer and automate the RC production process to reduce production delay and streamline the end-to-end process
• To re-visit risk capital model for wholesale, DSFT, and market risk to improve consistency of RC metric across different products.
• To support current production process RC, investigate and fix production issues on timely manner and provide support for diagnosing RC variations.
• To implement analytic tools for enhanced support for what-if, ad-hoc, and sensitivity analysis.
• To work with IT for integrating new RC library into system and handle UAT and integration tests.

Qualifications:

• Degrees at postgraduate level in hard science major or degree in computer science and experienced with software engineering.
• Proficient in Python or C .
• 2 years of experience of quant model development in financial industry or developing software for analytical and quantitative models.
• Knowledgeable in modeling framework for credit risk, default correlation, and counterparty default dynamics or other quantitative models in financial industry is a plus.
• Strong communicator, self-starter, and team player.
• Eagerness & ability to grasp complex analytical or mathematical concepts quickly. Ability to navigate through complex data and infrastructure environment a plus.

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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. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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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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