6 days old

AVP, Quantitative Market Risk Analyst

Irving, TX 75062
This position provides an excellent opportunity for a Quant Analyst to be at the center of major developments in the field of market risk data model and management. This role creates a broad set of opportunities for interaction with a wide range of internal functions as well as senior management within the bank.

**Job Description:**

+ Develop methodology for quantitative analysis required on various work streams primarily for Fundamental Review of the Trading Book (FRTB) implementation within the bank.

+ Research, support, enhance and maintain market risk models; design and develop in-house tools for quantitative analysis. Develop and deliver advanced market risk data analytics solutions

+ Work with existing market risk data models, and provide solutions where weaknesses are identified in testing, or where new business needs require model enhancements.

+ Interact confidently with other risk management teams, the front office, technology and control groups in order to implement improvements to the market risk models and to support any related production processes.

+ Prepare reports and detailed quantitative analysis for presentation to senior management and regulators.


+ Educated to postgraduate level, with an excellent academic record in a quantitative field (e.g., Mathematics, Physics, Statistics, Econometrics and Engineering). PhD or equivalent degree is strongly preferred, but outstanding candidates with an MSc level qualification will also be considered.

+ Experience in one or more of the following is an advantage: derivatives pricing, advanced time series modelling, big data modelling and management, financial risk management, numerical computation, advanced statistics, data technologies including database knowledge.

+ Good IT skills and experience in programming are absolute essential, for example, with Python, R, VBA, C/C++, SQL, Unix.

+ Familiarity with Spark, Hadoop Ecosystem (HDSF, Impala, HIVE, HBASE etc) is a plus.

+ Keen interest in banking and finance, especially in the field of Quantitative Risk Modelling.

+ Excellent oral and written communication skills.


**Job Family Group:**

Risk Management


**Job Family:**

Risk Analytics, Modeling, and Validation


**Time Type:**


Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review **Accessibility at Citi (https://www.citigroup.com/citi/accessibility/application-accessibility.htm)** .

View the "EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) " poster. View the EEO is the Law Supplement (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/OFCCP\_EEO\_Supplement\_Final\_JRF\_QA\_508c.pdf) .

View the EEO Policy Statement (http://citi.com/citi/diversity/assets/pdf/eeo\_aa\_policy.pdf) .

View the Pay Transparency Posting (https://www.dol.gov/sites/dolgov/files/ofccp/pdf/pay-transp\_%20English\_formattedESQA508c.pdf)


Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.
Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.


Posted: 2022-05-13 Expires: 2022-06-12

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AVP, Quantitative Market Risk Analyst

Irving, TX 75062

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