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AVP, Junior Quantitative Developer (hybrid)

Citi Bank
AVP, Junior Quantitative Developer (hybrid)
New York, US
105,000 - 158,000
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Job Description
  • The Model/Anlys/Valid Sr Analyst is a seasoned professional role. Applies in-depth disciplinary knowledge, contributing to the development of new techniques and the improvement of processes and work-flow for the area or function. Integrates subject matter and industry expertise within a defined area. Requires in-depth understanding of how areas collectively integrate within the sub-function as well as coordinate and contribute to the objectives of the function and overall business. Evaluates moderately complex and variable issues with substantial potential impact, where development of an approach/taking of an action involves weighing various alternatives and balancing potentially conflicting situations using multiple sources of information. Requires good analytical skills in order to filter, prioritize and validate potentially complex and dynamic material from multiple sources. Strong communication and diplomacy skills are required. Regularly assumes informal/formal leadership role within teams. Involved in coaching and training of new recruits
  • Significant impact in terms of project size, geography, etc. by influencing decisions through advice, counsel and/or facilitating services to others in area of specialization. Work and performance of all teams in the area are directly affected by the performance of the individual.
  • ** Responsibilities:** * Develops, enhances, and validates the methods of measuring and analyzing risk, for all risk types including market, credit and operational. Also, may develop, validate and strategize uses of scoring models and scoring model related policies. * Conducts statistical analysis for risk related projects and data modeling/validation. * Applies quantitative and qualitative data analysis methods including SAS programming, Structured Query Language (SQL) to extract, transform and analyze data and Visual Basic programming language. * Prepares statistical and non-statistical data exploration, validate data, identify data quality issues. * Conducts data analysis, data mining, read and create formal statistical documentation, reports and work with Technology to address issues. * Analyzes and interprets data reports, make recommendations addressing business needs. * Uses Predictive modeling methods, Optimizing monitoring systems, document optimization solutions, and present results to non-technical audiences; write formal documentation using statistical vocabulary. * Generates statistical models to improve methods of obtaining and evaluating quantitative and qualitative data and identify relationships and trends in data and factors affecting research results. * Validates assumptions; escalate identified risks and sensitive areas in methodology and process. * Automates data extraction and data preprocessing tasks, perform ad hoc data analyses, design and maintain complex data manipulation processes, and provide documentation and presentations. * Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency. ** Qualifications:**
* 5-8 years experience
* Proficient in Microsoft Office with an emphasis on MS Excel
* Consistently demonstrates clear and concise written and verbal communication skills
* Self-motivated and detail oriented
* Demonstrated project management and organizational skills and capability to handle multiple projects at one time

** Education:**

* Bachelor’s/University degree or equivalent experience

Finance And Risk Engineering Team is a group within the Risk (DART) Organization, responsible for developing the analytical models which are used for derivatives risk and exposure calculations Firm-wide. The scope of this work extends from the research into the mathematical derivation of the model, through the coding, testing, and documentation of the model for formal validation and approval, and finally to delivering the model for incorporation into the Firm’s internal and regulatory risk management processes.

The role will involve tasks such as:

  • Development and maintenance of the in-house C++ and Python model libraries
  • Advancing the quantitative toolbox by developing new technologies, algorithms and numerical techniques
  • Work on general efficiency improvement and optimization of the analytical libraries
  • Work with IT teams to integrate analytic libraries
  • Development and maintenance of the quant infrastructure, databases and productivity tools
  • Supporting the build, testing and release management of the model libraries
  • Work on Regulatory and Governance based projects across a range of the asset classes
  • Performing data analysis and producing regular reports

Required skills:

  • Proven track record of developing and supporting analytics library for pricing and risking Rates, Credit, Equities, Commodities derivatives is an advantage

  • Previous experience working on Regulatory based projects such as Model Risk, Basel III, Stress Testing, FRTB, CCAR is an advantage

  • Solid mathematical finance and statistical analysis skills

  • Knowledge of probability and stochastic calculus

  • Familiarity with Numerical analysis/Monte-Carlo methods

  • Experience developing software for Windows and Linux

  • Good command of scripting using UNIX Shell (ksh, bash, etc), Python and VBA

  • Knowledge of Relational Databases (Mongo, etc) databases is a plus

  • Knowledge/experience with Machine Learning Tools and Frameworks (scikit-learn, Teano, Keras, etc) is a plus

  • Good command of programming using C++, Python

  • Outstanding analytical and problem solving skills

  • Thorough and detailed approach to accuracy are essential

  • Ability to follow procedures and operate within strict guidelines

  • Excellent verbal and written English

  • Ability to take ownership and proactively follow up on issues

  • Ability to work in a team and to work well under pressure


Job Family Group:

Risk Management


Job Family:

Risk Analytics, Modeling, and Validation


Time Type:

Full time


Primary Location:

New York New York United States


Primary Location Salary Range:

$105,510.00 - $158,270.00


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]( accessibility.htm).

View the " EEO is the Law" poster. View the EEO is the Law Supplement.

View the EEO Policy Statement.

View the [Pay Transparency Posting]( transp_%20English_formattedESQA508c.pdf)

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