Model Analysis, Officer- Risk Capital, VP

Key Responsibilities:Risk Capital is a firm-wide metric to measure economic capital usage at the consolidated group and CBNA levels as well at the relevant detailed levels such as country, other legal entity and business unit. It is reported to regulators and the Board as a key capital adequacy metric for Citigroup and its major legal entities (MLE). Risk Capital is also used extensively in the ICG, CCB and GCRM to set risk limits and to assess the risk-adjusted profitability of large transactions.Risk Capital is increasingly visible to Citi’s business leaders because it is being used to allocate Tangible Common Equity (TCE) on a firm-wide basis globally. Allocated TCE is a critical input in one of the core measures of business profitability (RoTCE). The go-live of this new measure will increase the visibility of Risk Capital as well as the priority for Risk Capital enhancements.Key Responsibilities:

Assist model quants developing or enhancing Risk Capital/Stress Testing models

Implement model analytics, model libraries/engine/executables and associated analytical tools, using programming languages such as C, Python, VBA

Test model performance, implement testing suites for new and existing models, establish automated testing processes and repeated model documentation processes

Assist testing efforts and support requirements from Model Risk Management, participate in full model development, validation and ongoing performance monitoring cycles

Partner with Finance and Risk Infrastructure (FRI) and IT to ensure that Risk Capital enhancements are correctly implemented and integrated in Citi’s Risk and Finance systems

Qualifications:

Masters and above degree in computer science, mathematics, financial engineering

5+ years of experience in an analytics/quantitative programming/implementation roles in a financial institution. Knowledgeable about risk measurement issues in market risk or credit risk a plus. Fewer years of experience will be considered with additional advanced degress (ex. PhD)

Knowledge of risk capital and stress testing concepts and issues a plus.

Strong communicator, self-starter, and team player

Eagerness & ability to grasp complex analytical or mathematical concepts quickly

Proficient in C/C, Python, Excel VBA, Java and/or other programming languages

Experience with model implementation and integration with technology systems

Ability to nagivate through complex data and infrastructure environment a plus

Experience with implementing analytical user tools such as what-if calculator in Excel or other UI form a plus

Experience with database, cloud computing, client-server computing, distributed computing

Exceptional candidates who do not meet all these criteria may be considered for the role provided they have the necessary skills and experience

Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - USTime Type :Full timeCiti is an equal opportunity and affirmative action employer.Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.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 CLICK HERE at https://www.citigroup.com/citi/accessibility.html .To view the "EEO is the Law" poster CLICK HERE at https://www.dol.gov/ofccp/regs/compliance/posters/pdf/eeopost.pdf . To view the EEO is the Law Supplement CLICK HERE at https://www.dol.gov/ofccp/regs/compliance/posters/pdf/OFCCPEEOSupplementFinalJRFQA508c.pdf .To view the EEO Policy Statement CLICK HERE at http://citi.com/citi/diversity/assets/pdf/eeoaapolicy.pdf .To view the Pay Transparency Posting CLICK HERE at https://www.dol.gov/ofccp/pdf/pay-transpunformattedESQA508c.pdf .Citi is an equal opportunity and affirmative action employer.

Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.