Risk Capital Model Analyst

2 weeks ago


Tampa, Florida, United States Citigroup Inc Full time
About the Role

Citigroup Inc. is seeking a highly skilled Risk Capital Model Analyst to join our team. As a key member of our risk management team, you will be responsible for leading the effort of re-engineering the model implementation and production process for risk capital calculations.

Key Responsibilities
  • Improve the accuracy and reduce the complexity of risk capital models
  • Refactor the risk capital simulation library to reduce computational demand and runtime
  • Re-engineer and automate the risk capital production process to reduce production delay and streamline the end-to-end process
  • Support current production process risk capital, investigate and fix production issues on a timely manner and provide support for diagnosing risk capital variations
  • Implement analytic tools for enhanced support for what-if, ad-hoc, and sensitivity analysis
  • Work with IT for integrating new risk capital library into system and handle UAT and integration tests
Requirements
  • 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
About Citigroup Inc.

Citigroup Inc. is a global financial services company that provides a range of financial products and services to individuals, corporations, and governments around the world. We are committed to helping our clients achieve their financial goals and improving the lives of our customers.



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