Model/Analysis/Validation Senior Analyst

Model/Analysis/Validation Senior Analyst

Citibank, N.A. seeks a Model/Analysis/Validation Senior Analyst for its Tampa, Florida location.

Duties: Provide financial derivative trading support; recommend ways to control or reduce risk; perform month end adjustments for selected facilities related to over-the-counter derivatives and security financial transactions with over/understated pre-settlement exposure and pre-settlement loan exposure and investigate suspicious exposures on securities financing transaction and over the counter products (SFT & OTC PRODUCTS) with critical analysis to identify the issues and communicate findings to front-office/business and risk managers; Perform Value at Risk ("VAR") and pre-settlement exposure ("PSE") analyses and communicate results to front office to ensure efficient trading in business; prepare adjustment decks, develop, document, and maintain process documents: prepare various decks such as the month end adjustment decks, quarterly statistics on special credit risk exposure factor issued; develop process documents including credit risk exposure process documents, to explain its use to front office users; work with technology team to perform system 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 Quantitative Finance, Financial Engineering, or related field and three (3) years of experience performing risk analytics for a global financial services firm. Full term of experience must include: Financial products pricing model validation, including Equity, Derivatives, and Fixed Income); Using programming languages including Python, R, SQL, C++; Writing code for model testing, large scale data analysis under various scenarios; Technical writing for model validation and model performance reports preparations; Applying knowledge of financial mathematics, statistics, Monte Carlo simulation and econometrics in model validation, design testing plans and identify model weakness; Using stochastic calculus for options, swaps and other derivatives pricing models; Fixed income securities analysis for bond and mortgage pricing models validation; Machine learning, validating K-Nearest Neighbors (KNN) pricing models; Python Analytical Packages including Numpy, Pandas, Matplotlib; and Excel add-ins for pricing model data monitoring analysis. Applicants submit resumes at Please reference Job ID #26947143. EO Employer.

Wage Range: $99,500 to $130,920

Job Family Group: Risk Management

Job Family: Model Development and Analytics

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.