Model/Analysis/Validation Senior Analyst

Citi • Tampa, FL

4d • Hybrid

About The Position

Citibank, N.A. seeks a Model/Analysis/Validation Senior Analyst for its Tampa, Florida location. Duties include providing financial derivative trading support, recommending risk control/reduction strategies, performing month-end adjustments for derivatives and security financial transactions, investigating suspicious exposures, and performing Value at Risk (VAR) and pre-settlement exposure (PSE) analyses. The role also involves preparing adjustment decks, developing and maintaining process documents, and collaborating with the technology team for system enhancements. A telecommuting/hybrid work schedule may be permitted.

Requirements

• Master’s degree, or foreign equivalent, in Quantitative Finance, Financial Engineering, or related field
• Three (3) years of experience performing risk analytics for a global financial services firm
• Financial products pricing model validation, including Equity, Derivatives, and Fixed Income
• Using programming languages including Python, R, SQL, C++
• Writing code for model testing, large scale data analysis under various scenarios
• Technical writing for model validation and model performance reports preparations
• Applying knowledge of financial mathematics, statistics, Monte Carlo simulation and econometrics in model validation, design testing plans and identify model weakness
• Using stochastic calculus for options, swaps and other derivatives pricing models
• Fixed income securities analysis for bond and mortgage pricing models validation
• Machine learning, validating K-Nearest Neighbors (KNN) pricing models
• Python Analytical Packages including Numpy, Pandas, Matplotlib
• Excel add-ins for pricing model data monitoring analysis

Responsibilities

• Provide financial derivative trading support
• Recommend ways to control or reduce risk
• Perform month end adjustments for selected facilities related to over-the-counter derivatives and security financial transactions with over/understated pre-settlement exposure and pre-settlement loan exposure
• Investigate suspicious exposures on securities financing transaction and over the counter products (SFT & OTC PRODUCTS) with critical analysis to identify the issues and communicate findings to front-office/business and risk managers
• Perform Value at Risk (“VAR”) and pre-settlement exposure (“PSE”) analyses and communicate results to front office to ensure efficient trading in business
• Prepare adjustment decks
• Develop, document, and maintain process documents
• Prepare various decks such as the month end adjustment decks, quarterly statistics on special credit risk exposure factor issued
• Develop process documents including credit risk exposure process documents, to explain its use to front office users
• Work with technology team to perform system enhancements

Benefits

• medical
• dental & vision coverage
• 401(k)
• life, accident, and disability insurance
• wellness programs
• paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays

What This Job Offers

• Job Type: Full-time
• Career Level: Senior