The Quantitative Financial Analyst will contribute to the Corporate Audit Model Risk team's enterprise-wide coverage of model risk management; read and understand financial regulatory guidance and technical publications.
Prepare, manage and analyze large customer deposit and loan data sets for statistical analysis in Structured Query Language (SQL) or similar tool to properly specify and estimate econometric models to understand customer or Bank behavior for purposes of interest rate, liquidity or stressed capital risk. Understand the context of the Banks data and businesses to ensure properly developed models.
Develop analytics libraries used for Citis Equity and Multi-Asset pricing and risk-management. Create, implement, and support quantitative models for Equities Division trading business leveraging a wide variety of mathematical and computer science methods and tools including hardware acceleration.
Application of analytical tools to assess risks to enterprise under stress, to design optimal strategies around pricing and originations, and to create integrated frameworks to assess interest revenues, non-interest revenues and credit losses in a consistent fashion.
In this role, the selected candidate will apply this understanding to the auditing of model governance, model development, model validation, and model use; produce written evaluations based on these audits.
In this role, the selected candidate must have depth and a breadth of knowledge of financial markets and derivative products particularly in Equities, Commodities, Rates, Currencies and Credit Instruments.
Research and technology are united as one. Scientific bent and commitment to staying at the forefront of technological advancement enable researchers to continuously investigate the hardest problems and analyze the most formidable data sets, with speed and precision.