Advance Data Analytics and Services (ADA) Team is a group within Risk Modeling and Analytics (RMA) Organization, responsible for developing libraries, models, and applications centered around the in-house big data platform. The team works closely with Risk technology and the RMA analytical model teams to leverage big-data modelling and solutions to complement the core modelling work. The team applies expertise across data management, cloud architecture and risk analytics to streamline the risk management processes. The initial scope of the work is on FRTB, providing tools and solutions to facilitate validation by model sponsors, reporting, understanding, and what-if analysis. The scope will then be extended across all product areas including RWA, CCAR, CECL/IFRS9.
**We are seeking a Quantitative Modeler at Senior VP level to lead the effort on:**
+ Develop client solutions, data centric methods for portfolio profiling, model walk, result analysis, back-testing, risk attribution and explains.
+ Research and implement predictive models and exploratory analysis using current and emerging methodologies in machine learning to solve business problems including risk identification, fast pricing, etc
+ Create alternate benchmark models across product areas for use in validation, what-if analysis. Manage successful annual quantitative and qualitative assessments and submissions.
+ Develop models and oversee model development, validation, and deployment efforts.
+ Curate, manage, and govern central data models, data resources, and metrics that are critical to risk analytics
+ Provide leadership and guidance for junior modelers.
**Our ideal candidate is a highly competent professional with 10 years of experience in building complex analytical solution involving a cross section of models** **:**
+ Advanced degree (MS or PhD) in a quantitative field such as Statistics, Computer Science, Engineering or Mathematics. PhD is a plus.
+ Professional experience in statistical modeling, Bayesian inference or other machine learning and statistical methodologies
+ Professional experience dealing with large dataset with analytical approach and quantitative method
+ Professional experience using Python for data analysis and machine learning in a Unix/Linux operating system
+ Effective cross-functional project, resource, and stakeholder management; effectively engage with internal audit and external regulators.
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**Job Family Group:**
Risk Management
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**Job Family:**
Risk Analytics, Modeling, and Validation
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**Time Type:**
Full time
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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.
Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.
