CITIBANK, N.A – $101,525.00/Year

Requires a Masters degree or foreign equivalent in Engineering any, Mathematics, Statistics or closely related quantitative fields and 5 years of experience as a Quantitative Analyst, Quantitative Associate, Modeler or a closely related position providing market risk modeling. 5 years of experience must include Regulatory capital rules including Basel 2.5 and FRTB; Developing market risk models, including Value at Risk Monte Carlo and historical simulation and Incremental Risk Charge; Financial products, including derivatives instruments in major asset classes interest rate, FX, credit, commodities, equities and assetbacked securities mortgagebacked securities; Python and C; WindowsLinux platforms and databases; Utilizing quantitative techniques including probability, partial differential equations, mathematical modeling, machine learning, multidimensional optimization, matrix manipulation, Fourier transform, linear regression, nonlinear regression, principal component analysis, logistic regression, kernel methods, timeseries analysis and Monte Carlo simulations; Financial risk management tools including Greeks, Value at Risk, expected shortfall and scenario analysis; Processing and mining large datasets; and Developing asset valuation and derivatives pricing and creditdefault risk models. Proof of full vaccination against COVID19 required prior to commencing employment.