Quantitative Analyst / Data Scientist
Citigroup Inc. Tampa, FL Full-Time
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* Summary:
The Model Analysis Group (MAG) is a growing team within Risk Modeling and Analytics (RMA) . It is responsible for all post model development analytics related to models developed by RMA teams, including Ongoing Performance Assessments (OPA), Annual Model Reviews (AMR), and Revalidations.
Members of the MAG will be actively involved in different aspects of the model lifecycle. A typical model goes through different stages: design, calibration, testing, documentation, validation, implementation, monitoring and back to re-design and re-calibration when relevant assumptions change or monitoring indicates performance issues. OPAs and AMRs are critical stages of the model lifecycle to determine model performance (model use and monitoring) that can trigger model re-design or re-calibration by identifying critical issues.
Thus the job is related to a critical stage/decision point; essentially whether or not the model can still be used, which in turn has a material impact on resources, timelines, and deliverables.
Key mandates also include driving productivity enhancements in Model Analysis through innovation. The MAG will leverage cutting edge software and technology to reimagine the way we currently execute on this crucial phase of the model lifecycle, to the benefit of our partners, including model sponsors, developers, and Model Risk Management.
As the MAG spans all RMA models, members of the MAG will have the opportunity to become well-versed in multiple risk stripes, with such skills training enhancing their mobility and growth potential within RMA and the larger Risk organization.
The position will work very closely with others in the MAG, including the Head of MAG who reports to the head of RMA. RMA develops risk analytics for use by Risk, Finance and Product and Client Coverage teams on a global basis. The head of RMA reports to the Finance Chief Risk Officer.
* Key responsibilities:
Stakeholders include various working groups, model developers, risk managers, business clients, model validators, internal and external auditors, and regulators. Engage with stakeholders accordingly to:
* Develop and implement methodologies, algorithms and diagnostic tools for testing model robustness, stability, reliability, performance and quality control of modelling data.
* Conduct on-going model performance analysis (OPAs), annual model reviews (AMRs) , and revalidations.
* Discover, understand and quantify model limitations
* Provide comprehensive interpretations, explanations and conclusions
* Work with partners to resolve model issues
* Enhance efficiency and effectiveness of implementation of post model development analytics.
* Automate and consolidate ongoing model analysis and the annual model review process across different models
* Migrate analytics to a production environment as appropriate
* Support various tasks in response to regulatory and internal risk management requirements.
* Develop, maintain and enhance technical documentation including project plans, model descriptions, mathematical derivations, data analysis, process and quality controls.
* Education:
* A PhD or Master's in a technical discipline ( e.g. physics, mathematics, statistics, engineering, economics, financial engineering, operational research or similar).
* Qualifications:
* 4+ years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector. Fewer years of experience will be considered with advanced degrees. Postdoctoral researchers are encouraged to apply.
* Solid programming skills and experience with statistical data analysis, modelling techniques and numerical implementations. More specifically experience in Python Data Science Stack (NumPy, SciPy, Pandas, Scikit-Learn, Jupyter and IPython), R, Shell Scripts, UNIX, VBA, C/C++ (basic knowledge), SAS, Version Controlling (Git/Bitbucket) and basic database skills in either Oracle or Sybase/SQL .You may at least have experience in three of these techniques.
* Experience in developing and maintaining detailed technical documentation for models, model validation, project plans and processes preferred (Experience in scientific research paper writing will be an added advantage ).
* Strong written and verbal communication skills, and ability to discuss technical issues with stakeholders.
* Ability to meet deadlines for product deliverables in a timely, proactive and entrepreneurial manor.
* Demonstrated project management and organizational skills and capability to handle multiple projects at one time.
Recommended Skills
• Algorithms
• Assessments
• Automation
• Bitbucket
• C++ (Programming Language)
• Calibration
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Job ID: 2296711367
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