Model/Anlys/Valid Officer

Citigroup Global Markets Inc. seeks a/ Model/Anlys/Valid Officer for its New York, New York location.Duties: Develop quantitative models in C++ to compute Credit Value Adjustment, Funding Valuation Adjustment on spread product netting sets, which involves modeling the pricing of Credit Derivatives Swap, index options, and Collateralized Debt Obligations. Create, implement and support quantitative models leveraging a variety of mathematical methods including Monte Carlo simulations with Hull-White and Cox-Ingersoll-Ross models and correlation structures via Copulas. Support X-Value Adjustment (XVA) Traders, Structurers, capital management desks on appropriate assessment of risk/reward of transactions when making business decisions using quantitative tools such as Python. Engineer on model and data structure to improve the calculation speed and performance to provide timely profit & loss and risk analytics to the trading desk. Coordinate with IT team to build and deploy interfaces to integrate the Credit CVA models into the Central Cross Asset XVA models. Collaborate closely with control functions such as Legal, Compliance, Market and Credit Risk, Audit, and Finance in order to ensure appropriate governance and control infrastructure. Refine and adjust the model to account for market conditions and business demand. Maintain detailed documentation of model assumptions, methodologies and results. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.Requirements: Requires a Bachelor's degree, or foreign equivalent, in Economics, Mathematics, Statistics or related field and 2 years of experience as Risk Manager, Quantitative Analysis Program Analyst, Trader or related position involving developing and maintaining quantitative techniques in trading for a financial services institution. 2 years of experience must include: Programming in C++ and Python to support pricing and risk analysis; Developing quantitative model to price XVA netting sets; Credit products including structure, payoff, risk, and pricing to support credit XVA trading desks; Statistics and probability to evaluate financial instruments risks; Market data to support XVA modelling and pricing; Implementing regulatory risk calculations under FRTB framework; Monitoring Monte Carlo simulations. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID # 26939343. EO Employer.Wage Range: $200,000 to $250,000Job Family Group: Risk ManagementJob Family: Model Development and Analytics------------------------------------------------------**Job Family Group:**------------------------------------------------------**Job Family:**------------------------------------------------------**Time Type:**Full time------------------------------------------------------**Primary Location:**New York New York United States------------------------------------------------------**Primary Location Full Time Salary Range:**In addition to salary, Citi's offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.------------------------------------------------------**Most Relevant Skills**Please see the requirements listed above.------------------------------------------------------**Other Relevant Skills**For complementary skills, please see above and/or contact the recruiter.------------------------------------------------------**Anticipated Posting Close Date:**------------------------------------------------------_Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.__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 (https://www.citigroup.com/citi/accessibility/application-accessibility.htm) .__View Citi's EEO Policy Statement (https://www.citigroup.com/global/eeo-aa-policy) and the Know Your Rights (https://www.eeoc.gov/sites/default/files/2023-06/22-088\_EEOC\_KnowYourRights6.12ScreenRdr.pdf) poster._Citi is an equal opportunity and affirmative action employer.Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.