Modeling/Scoring/Analyst Manager


Company:: Citi
Location:: Tampa, FL
Job Type:: Full Time
Category:: Risk Management


Posted:: 11/4/2012

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Job Description

Citi is today's pre-eminent financial services company and was built to create a highly diversified financial services company that could act as one to deliver solutions to clients throughout the world. With the most diverse array of products and the greatest distribution capacity of any financial firm in the world, our employees manage 200 million customer accounts across six continents in more than 100 countries.

Citigroup Inc. and its subsidiaries ("Citigroup") are equal opportunity employers M/F/D/V and do not discriminate on the basis of any legally protected status or characteristic.

The position consists of performing several key tasks in support of the Citi Model Validation Group including:

•            model performance analysis and metrics (e.g. backtesting, PAA, calibration error)

•            revalidation and model benchmarking

•            model stress testing

•            ongoing monitoring of model usage and limitations

•            assessing and monitoring model risk and compensatory controls

•            analysis of performance breaks, control breaks, documentation and escalation to stakeholders

•            documentation of model performance and validation controls

This position is a vital component of the model "lifecycle", playing a direct role in how models are to be used by the firm. You will have significant exposure to a wide array of financial products and quantitative modeling techniques in all asset classes and risk capital models, which includes access to front office pricing systems and validation libraries designed for benchmarking and model testing.

You will work closely with members of the Model Validation Team as well as the Front Office, Product Control, and Risk Management groups. As part of a new team, you will have the opportunity to research alternative model performance metrics, and develop and craft efficient processes to better manage your core job functions.

•            Masters or Phd in a quantitative or economic discipline

•            Strong written and oral communication skills

•            Proficiency in basic Microsoft Office products (Excel, Word, etc.)

•            Candidates with programming skills in languages like VBA, C++, Python, a plus

Candidates should be strong quantitatively, naturally inquisitive, organized, and able to work both alone and as part of a team.

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