Product Control Lead Analyst

$180,000 - $185,000/Yr

Acord Solutions Group - New York, NY

Full-time - Mid Level

Remote - New York, NY

Professional, Scientific, and Technical Services

About the position

The Product Control Lead Analyst at Citibank is responsible for producing and implementing guidelines and procedures for valuation adjustments and price testing across the business. This role serves as the first point of escalation for discrepancies, focusing on enhancing the accuracy of price verification processes for financial derivatives and ensuring compliance with market standards.

Responsibilities

• Produce and implement guidelines and procedures for valuation adjustments and price testing.
• Act as the first point of escalation regarding discrepancies and pricing issues.
• 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.
• Conduct price verification of financial derivatives by gathering relevant market data and calibrating models.
• Work with derivatives pricing models and implement them in various programming languages.

Requirements

• Bachelor's degree in Mathematical Finance, Financial Engineering, or a related field.
• Five years of experience in a related occupation.
• Experience reviewing derivative pricing model documentation and understanding risk neutral pricing framework.
• Experience developing derivative pricing tools using VBA, Python, and MS Excel.
• Experience performing model calibration and assessing quality of calibration and market data selection.
• Experience performing independent valuation of non-linear derivatives.
• Experience creating automated Excel tools for pricing derivative trades.
• Experience working on remediation strategies for financial control gaps.
• Experience using statistical analysis to analyze data distribution and measure tail uncertainty.

Benefits

• 401(k)
• Dental insurance
• Disability insurance
• Health insurance
• Paid holidays
• Paid time off
• Vision insurance