Quantitative Risk Modeler

3 weeks ago

Tampa FL USA, United States Citigroup Inc Full time
Job Title: Model/Analysis/Validation Officer

Citigroup Inc. is seeking a highly skilled Model/Analysis/Validation Officer to join its team in Tampa, FL. As a key member of the risk management team, you will be responsible for developing and enhancing quantitative models for risk capital and stress testing.

Key Responsibilities:

  • Develop and enhance quantitative models for risk capital and stress testing covering wholesale banking book products.
  • Enhance the firm's concentration risk capital measurement approach to better capture concentration risk arising from a single name, region, and sector perspective.
  • Streamline the report of Internal Capital Adequacy Assessment Process (ICAAP).
  • Enhance the wholesale risk capital global simulation model to improve model code readability, efficiency, reliability, and portability.
  • Add more functionalities to support ad-hoc stress tests and model results analysis.
  • Support component model parameter recalibration, including credit spread, rating migration, probability of default (PD) dynamics, correlation, and loss given default (LGD).
  • Improve loss calculation methodologies to better capture risk associated with different financial products in wholesale banking book, including AFS (Asset for sale) and HFI (Hold for investment).
  • Implement wholesale risk capital model libraries and associated analytical tools utilizing programming languages such as C++, Python, R, and Java.
  • Manage code in IT-recommended code management systems.
  • Support end-to-end model-related work, including data sourcing, model development documentation, and model implementation in IT systems.
  • Work closely with model users and clients to support banking book risk capital estimates when making new deals and during annual industry, country-level risk capital limit reviews.

Requirements:

  • Masters degree, or foreign equivalent, in Mathematics, Statistics, Finance, Economics, or a related quantitative field.
  • Two (2) years of experience in the job offered, or in a related occupation in the financial services industry.
  • Experience utilizing quantitative financial modeling, including Monte Carlo Simulation, numerical methods, statistical and regression modeling to allocate portfolio risk capital to individual obligors and transactions.
  • Experience working with credit risk, market risk, and financial products to improve loss calculation methodologies.
  • Experience utilizing programming languages such as Python and SQL to implement risk capital model code and analytical tools.
  • Experience utilizing Linux to improve risk capital model code efficiency and portability.
  • Experience performing bank stress testing to support regulatory report requirements and internal model validation processes.
  • Experience utilizing probability of default, loss given default, and exposure at default modeling to support model parameter calibration.
  • Experience utilizing academic writing to clearly document model methodology, model performance, and stress test results.

Additional Information:

Citigroup Inc. offers competitive employee benefits, including medical, dental, and vision coverage, 401(k), life, accident, and disability insurance, and wellness programs. The company also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.

Citigroup Inc. is an equal opportunity and affirmative action employer. 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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