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Model/Analysis/Valid Group Manager

Company: Citibank, N.A.
Location: Tampa
Posted on: November 11, 2019

Job Description:

Model/Analysis/Valid Group Manager for Citibank, N.A. (Tampa, FL) Validate models used by interest rate derivatives bus for trading & managing market risk. Requires Ph.D. in Math, Stats, Theoretical Physics, Engineering, Quant Finance or related quant field & 4 years experience as Quant Analyst, Model Validation Analyst or related position involving financial math, modeling & model validation for derivative pricing. Alternative will accept Master's & 6 years 4 years experience must include Model validation using stochastic calc, arbitrage pricing theory & Markov Functional models; Ito calc, probability theory, arbitrage pricing theory & app to pricing derivatives, choice of numeraire & change of measure; App of algorthms & numerical methods include Linear algebra & matrix decomposition methods, random & quasi-random number generatn, Monte Carlo pricing, samplng, root finders (Brent, Newton), solvers Levenberg-Marquardt, quadratic optimization; Assessng modelng approaches & explaining model calibration to market observable products; Assessing model limitations in derivative pricing; Flow interest rate derivative products & pricing techniques include bonds, swaps, caps, floors, swaptns; Exotic interest rate derivative prdcts & pricing techniques include multi currency Bermudan callable swaps, multivariate range accruals, accreters, zero coupon swaps, inverse floaters, TARNS, PRDCs, inflation derivatives, products involving minor market indices; C++, Python progrmmng for financial modelng & derivative pricing; CVA math for derivative products; Developing benchmark tools by implementing models such as multi factor Hull-White, Brace-Gatarek-Musiela, Markov Functional & pricing methods: closed form, Monte Carlo, numerical integration; Treatment of funding basis & tenor basis in curve construction, impact, treatmnt of rate convexity; SR 11-7 reg guidance for model validation & model risk management.Citigroup is EOE.--
recblid vk4wngbi0q2tbkbge10v4rxz3v69s7

Keywords: Citibank, N.A., Tampa , Model/Analysis/Valid Group Manager, Executive , Tampa, Florida

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