Primary Location: United States,Florida,Tampa
Education: Master's Degree
Job Function: Risk Management
Shift: Day Job
Employee Status: Regular
Travel Time: Yes, 10 % of the Time
Job ID: 19016682
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 Propositionexplains 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.
The Model Analysis Group (MAG) is a newly formed team within Quantitative Risk and Stress Testing (QRS). It is responsible for all post model development analytics relating to models developed by QRS teams, including Ongoing Performance Assessments (OPA), Annual Model Reviews (AMR), and Revalidations.
Members of the MAG will be actively involved in different aspects of the model lifecycle. A typical model goes through different stages: design, calibration, testing, documentation, validation, implementation, monitoring and back to re-design and re-calibration when relevant assumptions change or monitoring indicates performance issues. OPAs and AMRs are critical parts of the model lifecycle to determine model performance (model use and monitoring) that can trigger model re-design or re-calibration by identifying critical issues.
Thus the job is related to a critical stage/decision point; essentially whether or not the model can still be used, which in turn has a material impact on resources, timelines, and deliverables.
Key mandates also include driving productivity enhancements in Model Analysis through innovation. The MAG will leverage cutting edge software and technology to reimagine the way we currently execute on this crucial phase of the model lifecycle, to the benefit of our partners, including model sponsors, developers, and Model Risk Management.
As the MAG spans all QRS models, members of the MAG will have the opportunity to become well-versed in multiple risk stripes, with such skills training enhancing their mobility and growth potential within QRS and the larger Risk organization.
The position will work very closely with others in the MAG, including the Head of MAG who reports to the head of QRS. QRS develops risk analytics for use by Risk, Finance and Product and Client Coverage teams on a global basis. The head of QRS reports to the Chief Risk Officer.
The successful candidate will be responsible for:
Performing ongoing analysis for Economic Forecasting Models, which includes both macro-econometric, and financial econometric models. The incumbent will be responsible for ongoing model performance, annual model performance reports, back testing, ex-post and ex-ante performance testing, model stability testing etc. The incumbent will work closely with the QRS-Economic Forecasting Team macroeconomists, econometricians, in exploring alternative methodologies & enhancements specifically addressing the weaknesses uncovered during model analysis and performance evaluations.
Automating and consolidating ongoing model analysis and the annual model review process across different models to enhance efficiency.
Collaborating with model developers, market risk managers, model validators, and Risk IT to discover and resolve model issues and enhance existing implementation.
Supporting various tasks in response to regulatory and internal risk management requirements.
Minimum of a master's degree in economics/econometrics with a sold academic concentration of macroeconomics, monetary economics and econometrics, statistics, time series analysis and Monte Carlo simulations.
3+ years of experience in quantitative finance. Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a A PhD in Economics and or Financial economics strongly preferred
Ideally, the candidate will also have a background on basic continuous time models, and stochastic processes.
Solid programming skills. Proficiency in SAS, MATLAB and a scripting language such as Python or R.
Experience with analyzing large and complex data sets;
Excellent written and verbal communication skills and ability to discuss technical issues with clients, peers, auditors, regulators and senior management.
Basic understanding of financial products in the trading book (equity, fixed income, derivatives, etc.) and their market drivers (price, interest rates, implied volatilities).