Citi Modeling/Scoring/Analysis Analyst 4 in Tampa, Florida

  • Primary Location: United States,Florida,Tampa

  • Education: Master's Degree

  • Job Function: Risk Management

  • Schedule: Full-time

  • Shift: Day Job

  • Employee Status: Regular

  • Travel Time: Yes, 10 % of the Time

  • Job ID: 16054695


About Citi : Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.

Citi’s Mission and Value Proposition at explains what we do and Citi Leadership Standards at explain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients’ and the public’s trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.

Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.

Citi’s Institutional Clients Group Risk Analytics team will be working on the Fundamental Risk Review of our Trading Book this is a Modeling/Scoring/Analysis role within the ICG –Risk business.

Our Risk Analytics team is segmented we are looking for people interested in Market Risk Analytics and Counterparty Credit Risk Analytics. The team is located in New York City, Tampa, FL and London and consists of quantitative experts focusing on market risk models. The team is responsible for designing, implementing and maintaining quantitative measures of market risk under the Basel Framework such as Value‐at‐Risk, Incremental Risk Capital and Comprehensive Risk Measure used to determine Citi’s capital requirements and to quantify risk exposure under normal and stressed scenarios.

This role of AVP, Quantitative Analyst 4 will include diverse responsibilities: performing analysis on any issue in market risk, handling large amounts of data, understanding the current risk model framework, supporting the existing risk infrastructure within Risk Analytics, investigating the feasibility of new risk models/approaches, developing models, implementing regulatory rules, communicating with risk managers and businesses, etc. This role has the opportunities to be involved in a few key initiatives of the firm. One related to enhancing the model development documentation and testing to meet regulators expectation. Another brought by the next generation of market risk capital regulations (known as the Fundamental Review of the Trading Book( FRTB)), the largest revision since 1996 when VaR was first used for market risk regulatory capital calculation.

You can expect to:

  • Perform statistical analysis on large volume of financial data, such as historical data analysis and simulation model parameter calibration

  • Perform time series analysis of market risk factors (e.g. interest rates, credit spreads, equity levels, inflation, asset correlations); calibrate stochastic scenario models including modeling “tail” scenarios

  • Develop and refine quantitative risk models across multiple asset classes. Maintain existing models and calibrate model parameters. Review model output to ensure reasonableness

  • Build model prototypes and automate processes, using C++, R, Python or Matlab

  • Perform rigorous model testing for all production models, including backtesting, stress testing, and other testing involved in the model development process

  • Analyze and provide comprehensive explanation of testing and production results to risk managers, trading desks, model validation, senior management and regulators

  • Present findings as needed and coordinate model development and implementation efforts across key functions including risk management, the businesses and technology

  • Create detailed methodology documentation for all key models and analyses, and partner with model validation to reach model approval and to refine existing documentation as needed

  • Be proactive and have a desire to explore new approaches in a team environment

  • Develop and refine quantitative risk models across multiple asset classes. Maintain existing models and calibrate model parameters. Review model output to ensure reasonableness

  • Perform quantitative analysis in response to regulatory and internal inquiries (Ex. Standardized Approach in comparison to Internally Modelled Approaches for Market Risk under the proposed Market Risk Framework).


  • PhD degree or equivalent background (MS/MA with 3 years of relevant work experience). All degrees must be in a Quantitative field (Statistics, Physics, Mathematics, Economics etc.)

  • Solid programming skills in C++ and scripting language (e.g., Python, Perl)

  • Strong knowledge of stochastic Calculus, Statistics and Derivatives Modeling

  • Great communications skills in both verbal and written

  • Interest in learning more about Risk Management