Model/Anlys/Valid Officer - VP

Citi • New York, NY

3d • Hybrid

About The Position

Citigroup Global Markets Inc. seeks a Model/Analysis/Validation Officer, VP for its New York, New York location. Duties: Develop pricing models and create analytical tools for pricing and calibration. Partner with structurers and traders on new product development. Support the trading desk. Provide quantitative training for quant and trading teams. Manage model governance and performance. Research new pricing models from various sources including academic literature and industry presentations. Use numerical techniques for valuation including Monte Carlo Methods and partial differential equations. Implement pricing models in the model library using C++ and Python. Write payoff scripts to model new products. Perform quantitative analysis to help businesses understand risks and characteristics of new products. Develop ad-hoc tools for pricing, quoting, and maintenance of new products. Write documents to describe model and product details and risk characteristics for model validation group. Design and perform numerical and statistical tests of models to ensure proper quality and full compliance. Coordinate with finance and controller teams to address any issues related to P&L and Model Reserve calculations. Modernize and digitize traditional security prices. Initiate and lead technical discussions between trading desks, market quants, and technology on the development and building of pricing platforms. Address issues related to pricing and trading securities on the platform. Examine and interpret P&L to ensure compliance with regulatory requirements. Construct static and dynamic replicating portfolios with liquid instruments to hedge and manage risk. Build new tools to automate model parameter calibration process and reduce operational risk. Develop statistical models to analyze historical data and make predictions. Back-test model performance and make enhancements. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements

• Requires a Master’s degree, or foreign equivalent, in Mathematics or a related field and 4 years of academic or work experience as a Quantitative Analyst, FX Options Quantitative Analyst, or related position developing quantitative pricing models for a global financial services institution.
• 4 years of academic or work experience must include: Working with financial instruments including exotics equity derivatives; Numerical methods including Monte Carlo; Python; and Statistics, Probability Theory, Data science, machine learning.
• Additionally, 3 years of experience must include: Partial differential equations; C++ and SQL; P&L and Model Reserve calculations; Working with regulatory requirements including model documentation, assessing model performance, and evaluating models missing risks; and Developing statistical models to analyze historical data.

Responsibilities

• Develop pricing models and create analytical tools for pricing and calibration.
• Partner with structurers and traders on new product development.
• Support the trading desk.
• Provide quantitative training for quant and trading teams.
• Manage model governance and performance.
• Research new pricing models from various sources including academic literature and industry presentations.
• Use numerical techniques for valuation including Monte Carlo Methods and partial differential equations.
• Implement pricing models in the model library using C++ and Python.
• Write payoff scripts to model new products.
• Perform quantitative analysis to help businesses understand risks and characteristics of new products.
• Develop ad-hoc tools for pricing, quoting, and maintenance of new products.
• Write documents to describe model and product details and risk characteristics for model validation group.
• Design and perform numerical and statistical tests of models to ensure proper quality and full compliance.
• Coordinate with finance and controller teams to address any issues related to P&L and Model Reserve calculations.
• Modernize and digitize traditional security prices.
• Initiate and lead technical discussions between trading desks, market quants, and technology on the development and building of pricing platforms.
• Address issues related to pricing and trading securities on the platform.
• Examine and interpret P&L to ensure compliance with regulatory requirements.
• Construct static and dynamic replicating portfolios with liquid instruments to hedge and manage risk.
• Build new tools to automate model parameter calibration process and reduce operational risk.
• Develop statistical models to analyze historical data and make predictions.
• Back-test model performance and make enhancements.

Benefits

• In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards.
• Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs.
• Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.
• For additional information regarding Citi employee benefits, please visit citibenefits.com.
• Available offerings may vary by jurisdiction, job level, and date of hire.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Number of Employees: 5,001-10,000 employees