Quantitative Risk Modeler
3 weeks ago
Job Summary:
Citigroup Inc is seeking a highly skilled Quantitative Risk Modeler 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 covering wholesale banking book products.
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.
- Implement wholesale risk capital model libraries and associated analytical tools utilizing programming languages such as C++, Python, R, and Java.
- Support end-to-end model related work including data sourcing, model development documentation, and model implementation in IT system.
- 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.
- Strong knowledge of quantitative financial modeling, including Monte Carlo Simulation, numerical methods, statistical and regression modeling.
- Proficiency in programming languages such as Python, SQL, and Linux.
What We Offer:
Citigroup Inc offers competitive employee benefits, including medical, dental & vision coverage, life, accident, and disability insurance, and paid time off packages.
Citigroup Inc is an equal opportunity employer and welcomes applications from diverse candidates. We are committed to creating an inclusive environment where all employees feel valued and respected.
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