Job Description
Citibank, N.A. seeks a Model/Analysis/Validation Sr. Analyst for its Tampa, FL location.
Duties: Support market risk analytics projects in multiple areas, including FRTB (Fundamental Review of the Trading Book, the next generation of market risk regulatory framework), CCAR (Comprehensive Review of the Trading Book), and LIBOR transition. Develop market risk models critical for quantifying the market risk exposures of Citi’s trading book and calculating regulatory capital. Collaborate with other teams include Risk IT to implement new models, resolve production issues and enhance existing implementation. Calibrate model parameters, perform variance analysis to explain the changes in model output due to parameter updates. Perform ongoing analysis of models, including back testing and profit attribution analysis (PAA). Engage market risk managers and the businesses on analytics-related matters on a regular basis. Develop and maintain technical documentation. Support various tasks ...
Duties: Support market risk analytics projects in multiple areas, including FRTB (Fundamental Review of the Trading Book, the next generation of market risk regulatory framework), CCAR (Comprehensive Review of the Trading Book), and LIBOR transition. Develop market risk models critical for quantifying the market risk exposures of Citi’s trading book and calculating regulatory capital. Collaborate with other teams include Risk IT to implement new models, resolve production issues and enhance existing implementation. Calibrate model parameters, perform variance analysis to explain the changes in model output due to parameter updates. Perform ongoing analysis of models, including back testing and profit attribution analysis (PAA). Engage market risk managers and the businesses on analytics-related matters on a regular basis. Develop and maintain technical documentation. Support various tasks ...
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