Model/Anlys/Valid Officer

Citigroup Global Markets Inc. seeks a Model/Anlys/Valid Officer for its New York, New York location. Duties: Apply mathematical theories and no-arbitrage pricing techniques to develop, maintain and enhance the quantitative models used for pricing and risk for the Muni Derivatives business and Spread Products Solutions business. Apply mathematical techniques, including copula models and stochastic calculus for computing the Credit Value Adjustment, Funding Valuation Adjustment and other affine metrics for portfolios of Credit, Municipal and Mortgage derivatives. Design and develop analytical tools and applications for the Global Spread Products business, leveraging various data science techniques that would help the desk identify relative value opportunities and potential market risks involved. Improve the calculation speed and performance for production batch run to make sure trading desks can get the profit and loss, market risk factors sensitivities accurately and in time. Work with the trading desks to understand the product specific features and hedging strategies for any new product that needs to be modelled in the analytics. Cooperate closely with traders, structurers, and technology professionals to support their daily business, resolve production issues and answer questions about pricing, risk calculation and profit attribution analysis. Coordinate with IT and adjunct teams to deploy the trading solutions in the IT infrastructure. Implement the models and tools required by the business within the analytics library, using C++ and Python. Work in close partnership with control functions such as Market Risk, Model Validation Group, Audit, Finance to ensure appropriate governance and control infrastructure. Write the necessary documentation of the models used by the business for model validation and implement the necessary tests for the ongoing performance analysis required by regulation. 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 Mathematics, Physics, Computational Science, Quantitative & Computational Finance or related quantitative field and 3 years of experience as a Quantitative Analyst, Financial Analyst, or related position involving software development and analysis for financial industry. 3 years of experience must include: Java, Python; SQL, Sybase, DB2; Data analysis and reconciliation; Application development; and Profit and loss attribution analysis. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #26978056. EO Employer. Wage Range: $225,000 to $250,000 Job Family Group: Risk Management Job Family: Model Development and Analytics \------------------------------------------------------ ## Job Family Group: \------------------------------------------------------ ## Job Family: \------------------------------------------------------ ## Time Type: Full time \------------------------------------------------------ ## Primary Location: New York New York United States \------------------------------------------------------ ## Primary Location Full Time Salary Range: 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. \------------------------------------------------------ ## Most Relevant Skills Please see the requirements listed...