Citizens Valuation Control Quantitative Analyst in Boston, Massachusetts
The Valuation Control Group (VCG) within Citizens, is currently recruiting for a Quantitative Analyst. The VCG Analyst is responsible for working closely with the risk management team, technology, Swap-Dealer and the trading desk, among others, to assess the risks that face Citizens, and work to find a plan of action to adjust to those risks appropriately.
Responsible for quantitative support of International Swap Dealer Association (ISDA) Standard Initial Margin Model (SIMM), its back testing framework, and supporting the business in optimizing execution cost from bilateral initial margin perspective.
Partner with the head of the valuation control team in developing methodology for valuation, adjustments, and reserves of fair value positions with detail analysis and support of both variation and initial margin disputes.
Execute model governance work for bilateral initial margin (SIMM).
Work with Front Office Trading, Middle Office, Finance, Market Risk Management, and Model Risk Management to monitor, develop and document various valuation risks of the firm, and implement appropriate adjustments continually and independently.
Consistent analysis of Markets, P&L, and Risk daily with an understanding of the factors that drive the valuation risk.
Enhance a firm control framework, including reviewing independent pricing processes, assessing potential coverage developments, and implementing new tools to enhance control efficiency.
Minimum of 3 years’ experience with product/valuation control in a financial institution, with specific knowledge of, and experience with derivatives valuation (FX, Rates, & Commodities).
Demonstrated knowledge of option pricing and risk sensitivities
Ability to understand complex products, and analyze transaction and process flows
Analytical and quantitative aptitude and ability to explain complex concepts, including to executive management, regulators, and internal/external auditors
Advanced Excel and PowerPoint skills with experience in Visual Basic, automation and database skills required.
Propensity to handle multiple tasks simultaneously and efficiently.
Ability to develop, motivate, and manage a diverse and talented team
Experience with ISDA SIMM model strongly preferred.
• Bachelor’s Degree required in Economics, Finance, Accounting, or related field
• Master’s Degree is a plus
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Equal Employment Opportunity
At Citizens we value diversity, equity and inclusion, and treat everyone with respect and professionalism. Employment decisions are based solely on experience, performance, and ability. Citizens, its parent, subsidiaries, and related companies (Citizens) provide equal employment and advancement opportunities to all colleagues and applicants for employment without regard to age, ancestry, color, citizenship, physical or mental disability, perceived disability or history or record of a disability, ethnicity, gender, gender identity or expression (including transgender individuals who are transitioning, have transitioned, or are perceived to be transitioning to the gender with which they identify), genetic information, genetic characteristic, marital or domestic partner status, victim of domestic violence, family status/parenthood, medical condition, military or veteran status, national origin, pregnancy/childbirth/lactation, colleague’s or a dependent’s reproductive health decision making, race, religion, sex, sexual orientation, or any other category protected by federal, state and/or local laws.
Equal Employment and Opportunity Employer
Citizens is a brand name of Citizens Bank, N.A. and each of its respective affiliates.
Why Work for Us
At Citizens, you'll find a customer-centric culture built around helping our customers and giving back to our local communities. When you join our team, you are part of a supportive and collaborative workforce, with access to training and tools to accelerate your potential and maximize your career growth
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