Citibank N.A. seeks a Product Control Lead Analyst for its New York, NY location.
Duties: Produce and implement guidelines and procedures for valuation adjustments and price testing across the business, with particular attention to the design of product control. Act as first point of escalation regarding any discrepancies and identify pricing issues, valuation parameters, or instrument types that require particular attention. Enhance accuracy and coverage of current price verification processes for rates and products. Perform independent pricing of financial derivatives present in the bank's balance sheet. Collect market data to evaluate bid-offer spreads of interest rate derivatives and assess market observability for fair value leveling. Conduct price verification of financial derivatives by gathering relevant market data and calibrating models to fit external data. Work with derivatives pricing models and implement them in various programming languages. Remote work may be permitted within a commutable distance from the worksite, in accordance with Citi policy.
Requirements: Bachelor's degree, or foreign equivalent, in Mathematical Finance, Financial Engineering, or a related field, and five (5) years of experience in the job offered or in a related occupation. Five (5) years of experience must include: Reviewing derivative pricing model documentation, including understanding the risk neutral pricing framework and the mathematical techniques needed for model implementation; Developing derivative pricing tools using VBA, Python and MS Excel; Performing model calibration, assessing the quality of the calibration and market data selection; Performing independent valuation of non-linear derivatives; Creating automated excel tools for pricing a set of derivative trades according to relevant market conventions; Working on remediation strategies to address identified financial control gaps; and using statistical analysis to analyze data distribution and measure tail uncertainty. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/ . Please reference Job ID #24732438. EO Employer.
Wage Range: $180,000.00 to $185,000.00
Job Family Group: Finance
Job Family: Product Control ------------------------------------------------------
Job Family Group: ------------------------------------------------------
Time Type: Full time ------------------------------------------------------
Primary Location: New York New York United States ------------------------------------------------------
Primary Location Full Time Salary Range:
In addition to salary, Citi's offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire. ------------------------------------------------------
Anticipated Posting Close Date: May 04, 2024 ------------------------------------------------------
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