Modeling/Analysis/Validation Officer #EJ/MAVO/ZC
Modeling/Analysis/Validation Officer for Citibank, N.A. (Tampa, Florida) Assess & manage model risk in Citis trading book credit area.
Requires: Masters degree or foreign equivalent in Quantitative Finance, Math, Physics, Engineering or closely related field & 3 years of experience as a Quantitative Financial Analyst or closely related position. Full term of work experience must include: Understanding & app of relevant financial Math, including stochastic calculate & arbitrage pricing theory, & its app to pricing derives (e.g. change of measure & risk neutral pricing). Knowledge & programming skills in a number of languages, including Python, MATLAB, C/C++, Excel, VBA (Visual Basic for Applications), R, SAS & LaTex. Understanding & app of relevant algorithms & numerical methods, including Linear algebra, root finding (e.g. Brent, Newton), generation of random & quasi-random sequences for sim & samp. Understanding of what drives risk for a particular prod & how this should relate to sensitivity to market data. Understanding the nuances of the modeling approach chosen to price a prod & being able to assess whether it is appropriate & sufficient to capture all relevant market exposure.
Citigroup is EOE. Direct apps only.