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Assistant Vice President, Risk Capital Model Specialist

2 months ago

Tampa, Florida, United States Citigroup Inc Full time

Overview:

The Risk Capital function serves as a comprehensive metric to evaluate 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 limits for monitoring the firm's risk exposure across diverse business lines, products, and geographical regions.

Role Summary:

The selected candidate will take a leadership role in transforming the model implementation and production processes for various risk capital calculations. This includes areas such as wholesale, trading, and banking book portfolios. The successful applicant will spearhead multiple initiatives aimed at enhancing model implementation, minimizing computational demands, and streamlining production processes for improved automation and expedited execution. These initiatives will not only reduce production delays but also bolster our capacity to support advanced analytics, including what-if scenarios and sensitivity analyses.

Key Responsibilities:

  • Enhance the accuracy of risk capital models while simplifying their complexity.
  • Revamp the risk capital simulation library to optimize computational efficiency and reduce runtime.
  • Redesign and automate the risk capital production workflow to minimize delays and streamline the overall process.
  • Reassess risk capital models for wholesale, DSFT, and market risk to ensure consistency across various products.
  • Support the current risk capital production process by promptly investigating and resolving production issues, as well as diagnosing variations in risk capital.
  • Develop analytical tools to provide enhanced support for what-if, ad-hoc, and sensitivity analyses.
  • Collaborate with IT to integrate the new risk capital library into existing systems and manage user acceptance testing and integration assessments.

Qualifications:

  • Postgraduate degree in a quantitative field or computer science, with experience in software engineering.
  • Proficiency in programming languages such as Python or C++.
  • A minimum of 2 years of experience in quantitative model development within the financial sector or in developing software for analytical and quantitative applications.
  • Familiarity with modeling frameworks related to credit risk, default correlation, and counterparty default dynamics is advantageous.
  • Excellent communication skills, self-motivated, and a collaborative team player.
  • Strong analytical aptitude with the ability to quickly understand complex mathematical concepts and navigate intricate data environments.

Job Family Group: Risk Management

Job Family: Risk Analytics, Modeling, and Validation

Time Type: Full time

Compensation: Competitive salary and comprehensive employee benefits package, including medical, dental, and vision coverage, retirement plans, and wellness programs.

Citi is an equal opportunity and affirmative action employer. Qualified applicants will receive consideration without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or veteran status.