Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.
Citi's Mission and Value Proposition explains what we do and Citi Leadership Standards explain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients' and the public's trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.
Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.
This role of quantitative analyst will include diverse responsibilities: performing analysis on any issue in market risk, handling large amounts of data, understanding the current risk model framework, supporting the existing risk infrastructure within Risk Analytics, investigating the feasibility of new risk models/approaches, developing models, implementing regulatory rules, communicating with risk managers and businesses, etc.
This role has the opportunities to be involved in key initiatives of the firm. One specifically being the FRTB Project (Fundamental Review of the Trading Book), the largest revision since 1996 when VaR was first used for market risk regulatory capital calculation. It involves enhancing the model development documentation and testing to meet regulators expectation
The successful candidate will:
Understand the FRTB model framework, the overall process flow, the control and governance issues related to FRTB.
Update the model parameters, conduct model performance analysis and enhance the risk models.
Communicate with risk managers, business leads and other related parties.
The position provides opportunities to talk to regulators and develop the in-house risk models.
Post graduate degree in a quantitative field (physics, mathematics, computer science, etc.) with 8-10+ years of relevant experience ideally in STEM field.
Strong programming skills in C/C++, MatLab, VBA or other
Prior leadership and project management experience; experience with overseeing off-shore or remote resources is a plus.
Strong written and oral communication skills are important for senior interaction and leading a team.
Internal Number: 5850956
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