Model Developer, Quantitative Analyst Counterparty Risk - AVP Model Developer, Quantitative Analyst Counterparty  …

Citi
in Tampa, FL, United States
Permanent, Full time
Be the first to apply
Competitive
Citi
in Tampa, FL, United States
Permanent, Full time
Be the first to apply
Competitive
Model Developer, Quantitative Analyst Counterparty Risk - AVP
Team :
Counterparty Risk Analytics is responsible for developing and maintaining methodologies to calculate counterparty credit risk exposures of OTC derivatives, Exchanged-Traded derivatives and Security Financing Transactions. The models are used for advanced Basel regulatory capital calculations, stress testing, and internal risk management measures.
Responsibilities :
  • Enhance counterparty credit exposure simulation, pricing, and margin/aggregation models for derivatives products, covering all major asset classes.
  • Perform rigorous model testing as part of new model development and enhancement of existing models.
  • Provide comprehensive analytical support to all model stakeholders.
  • Contribute model prototype and testing code to the team's codebase, as well as to facilitate implementation of such models with the Risk IT.
Qualification :
  • Master's Degree or equivalent in a quantitative field (Math, Statistics, Physics, Quantitative Finance etc.) with at least two years of relevant experience.
  • Fewer years of experience will be considered for candidates with a PhD or second Master's degree.
  • Working knowledge of Python including Numpy and Pandas is essential.
  • Knowledge of Quant Finance foundations is a strong plus.
  • Good verbal and written communication is very important.

Job Family Group:
Risk Management
Job Family:
Risk Analytics, Modeling, and Validation
Time Type:

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