Citigroup AVP, Economic Scenario Forecast Quant in New York, New York
The Model/Anlys/Valid Sr Analyst is a seasoned professional role. Applies in-depth disciplinary knowledge, contributing to the development of new techniques and the improvement of processes and work-flow for the area or function. Integrates subject matter and industry expertise within a defined area. Requires in-depth understanding of how areas collectively integrate within the sub-function as well as coordinate and contribute to the objectives of the function and overall business. Evaluates moderately complex and variable issues with substantial potential impact, where development of an approach/taking of an action involves weighing various alternatives and balancing potentially conflicting situations using multiple sources of information. Requires good analytical skills in order to filter, prioritize and validate potentially complex and dynamic material from multiple sources. Strong communication and diplomacy skills are required. Regularly assumes informal/formal leadership role within teams. Involved in coaching and training of new recruits
Significant impact in terms of project size, geography, etc. by influencing decisions through advice, counsel and/or facilitating services to others in area of specialization. Work and performance of all teams in the area are directly affected by the performance of the individual.
To develop economic variable forecasting methodologies and use programming language to implement the methodologies into an analytic library that can be used to perform the forecast or passed to technology team and use in a production system.
Develop methodologies, algorithms and diagnostic tools for economic variable forecasting, and testing model robustness, stability and performance.
Perform reliability analysis and quality control of modeling data and model results.
Develop and maintain technical documentation for economic variable forecasting methodologies and applications; including project plans, model descriptions, mathematical derivations, data analysis, process and quality controls.
Participate in the implementation of analytical tools, and the migration of models to the production environment.
Engage business risk managers, clients and partners in the analysis and interpretation of results, incorporating their feedback as appropriate into models.
Provide timely and accurate response to clients, partners and management.
Participate in discussions with model validation, internal and external audits and regulatory reviews.
Prepare and delivering training materials, presentations and reports on economic scenario and analytics for technical and non-technical audiences.
Solid programming skills and experience with statistical and data analysis, modeling techniques and numerical implementations. More specifically experience in C/C++, Java, SAS, Python, R and Perl, shell scripts, UNIX, VBA and basic database skills in either Oracle or Sybase/SQL.
Experience in quantitative finance or a related field, analyzing large and complex data sets, data reliability analysis, quality controls and data processing preferred.
Experience of one or more of the following is an advantage but not essential: derivative pricing and exotic products; risk management practices and procedures; numerical methods; Monte Carlo simulations; statistical hypotheses testing; banking-book products, risk analytics for wholesale stress testing for credit portfolios, credit risk modeling and risk management or related areas.
Basic understanding of financial products in the trading book (equity, fixed income, derivatives, etc.) and their market drivers (price, interest rates, implied volatilities). Basic understanding of key macroeconomic variables such as GDP, Unemployed rate, interest rate, etc.
Excellent written and verbal communication skills, and ability to discuss technical issues with clients, peers, auditors, regulators and senior management.
Proven experience in developing and maintaining detailed technical documentation for models, model validation, project plans and processes.
Accountable for end-to-end deliverables. Ability to meet deadlines for product deliverables in a timely, proactive and entrepreneurial manor.
Strong interpersonal skills and the ability to foster a collaborative environment
Organized, disciplined and detail oriented with sound problem-solving skills, and the ability to think creatively.
Advanced degree in quantitative field such as Mathematics, Statistics, Physics, Financial Engineering, Economics
1-3 year's relevant experience, fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second Master’s degree, CFA
Job Family Group:
Risk Analytics, Modeling, and Validation
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