Assistant Vice President, Risk Capital Modeling Specialist

2 weeks ago


Tampa, Florida, United States Citigroup Inc Full time
Overview:
Risk Capital serves as a comprehensive metric for evaluating the economic risk at the consolidated levels of Citigroup and its major legal entities. This metric is crucial for capital adequacy assessments and is utilized across various risk domains to establish risk limits, thereby monitoring the firm's risk exposure across diverse business sectors, products, and geographical regions.

Role Summary:
The selected candidate will spearhead initiatives aimed at re-engineering the model implementation and production processes for a wide array of risk capital calculations, which encompass risk categories such as wholesale, trading, and banking book portfolios.

Key Responsibilities:
  • Enhance the accuracy of risk capital models while simplifying their complexity.
  • Refactor the risk capital simulation library to optimize computational efficiency and reduce runtime.
  • Redesign and automate the risk capital production process to minimize delays and streamline the end-to-end workflow.
  • Review and refine risk capital models for wholesale, DSFT, and market risk to ensure consistency across various products.
  • Support the existing production process by investigating and resolving production issues promptly, while also diagnosing variations in risk capital metrics.
  • Develop analytical tools to provide enhanced support for what-if scenarios, ad-hoc analyses, and sensitivity assessments.
  • Collaborate with IT to integrate the new risk capital library into the system and manage user acceptance testing (UAT) and integration evaluations.

Qualifications:
Candidates should possess postgraduate degrees in a hard science discipline or a degree in computer science, along with experience in software engineering. Proficiency in Python or C++ is essential, along with a minimum of 2 years of experience in quantitative model development within the financial sector or in creating software for analytical and quantitative applications.

Familiarity with modeling frameworks related to credit risk, default correlation, and counterparty default dynamics, or other quantitative models in the financial industry is advantageous. The ideal candidate will be a strong communicator, a self-starter, and a collaborative team member, with a keen ability to quickly grasp complex analytical or mathematical concepts. Experience navigating through intricate data and infrastructure environments is a plus.

Job Family Group: Risk Management
Job Family: Risk Analytics, Modeling, and Validation
Time Type: Full time

Compensation and Benefits:
Citi offers competitive employee benefits, including medical, dental, and vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Additionally, Citi provides paid time off packages, encompassing planned time off (vacation), unplanned time off (sick leave), and paid holidays.

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