Model/Analysis/Validation Officer, Citi

Model/Analysis/Validation Officer

Citi

Location:

United States, Tampa

Category:

Finance

Contract Type:

Employment contract

Salary:

124200.00 USD / Year

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Job Description:

Citigroup Global Markets Inc. seeks a Model/Analysis/Validation Officer for its Tampa, FL location. The role involves developing and implementing quantitative models of Counterparty Credit Risk (CCR), simulating stochastic market factor evolution, integrating derivatives pricing libraries, and evaluating counterparty exposure profiles. The position requires a Master’s degree in a quantitative field and two years of relevant experience.

Job Responsibility:

Develop and implement quantitative models of Counterparty Credit Risk (CCR)
Simulate stochastic market factor evolution across multiple asset classes
Integrate derivatives pricing libraries for use in the simulated market context
Evaluate counterparty exposure profiles generated by derivative portfolios and model the effect of collateral exchange between counterparties
Conduct ad-hoc exposure investigations for existing portfolios and prospective trades
Drive the effort for implementation of completed model enhancements for production
Maintain and update model documentation, liaise with Risk Management, Model Risk, Finance, and Technology teams to facilitate timely model validation, approval, and production releases
Develop appropriate mathematical framework to address limitations, non-modeled risk, and other deficiencies in the models in response to internal, business, risk management, or regulatory findings
Identify, evaluate, and report on the nature, purpose, and expected impact of changes introduced to the models
Produce prototype implementations to be used throughout the model lifecycle
Evaluate impact of pricing model changes on major CCR metrics
Enhance and support periodic upgrades of the Front Office Integration derivative pricing models
Review changes in Front Office pricing models, categorize, design, and assign appropriate model testing, conduct such testing, and document the results

Requirements:

Master’s degree, or foreign equivalent, in Financial Engineering, Applied Mathematics, Statistics, Data Science, or a related quantitative field
Two (2) years of experience in the job offered, or in a related occupation developing and implementing models in the financial services industry
Identifying sources and mitigants of counterparty credit risk (CCR)
Integration of exchange-traded STIR and Government Bond futures and options to Monte-Carlo simulation framework for CCR
Integration of OTC FX and Interest Rates derivatives including exotics such as Barrier/Knock-out options and callable swaps in Monte-Carlo simulation framework for CCR
Pricing methods of FX and Interest Rates derivatives, understanding of their risk factors and computational complexity
Application of numerical and statistical analysis for out-of-sample evaluation of predictive models
Development of quantitative libraries and applications in Python and C++ under Linux and Windows
Utilization of Git source control systems in a team development environment
Application of parallel computing for data and CPU-intensive process scaling

What we offer:

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

Additional Information:

Job Posted:

March 20, 2025

Expiration:

May 07, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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