Quantitative Market Risk Analyst

As a member in Market Risk Analytics, the role will develop, implement, test, and maintain quantitative models to measure market risk for trading book products across all asset classes. Responsibilities include:

• Gain understanding of the current market risk model framework, perform model analysis and model parameters updates as required.
• Develop and enhance the current models and processes according to Model Risk Management Policy requirement.
• Contribute to the new model and process development for FRTB (the future market risk regulatory capital rule).
• Interact with stakeholders in model life cycle, including market risk managers (as model sponsor), front office data provider, technology (for model implementation), and model validation team. Interaction with regulators may be required.
• Provide support to risk managers and businesses on market risk model related topics.

Qualifications:

• Good quantitative skills with the knowledge and experience of building mathematical models
• Good programming skills in programming language such as Python, Spark, R, C++. Familiarity with Windows and UNIX/Linux operating environment.
• Clear and concise communication skills, both written and verbal
• Self-motivated and detail oriented, capability to handle multiple projects at the same time.
• Prior knowledge of trading book products is a plus.

Education:

• Master’s Degrees (Ph.D.’s degree preferred) in a quantitative area (Mathematics, Statistics, Financial Engineering) or computer science with 0-1yrs experience.

Job Family Group: Risk Management

Job Family: Risk Analytics, Modeling, and Validation

Time Type: Full time

Primary Location: Irving Texas United States

Primary Location Full Time Salary Range: $76,230.00 - $106,370.00

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.

Anticipated Posting Close Date: Dec 24, 2024

Citi is an equal opportunity and affirmative action employer.