Overview

Risk – Counterparty Credit Risk Quantitative Analyst – VP Job at Citi – in London

Job Purpose:
To quantify, communicate and explain derivatives’ counterparty exposure to help the decision-making processes of risk management & the businesses, using in house models and tools to calculate counterparty credit exposure (e.g. Potential Future Exposure ).

The role will also be involved in developing analytical models/tools needed for derivatives’ exposure calculation, ideally in python, and write model document for future model validation.

Where applicable, participate in Credit system related projects. Assist project managers to test new function or features, to monitor and report progress in the timely fashion.

Provide advisory role for risk management, business and Basel capital on credit exposure and capital related projects, solutions and issues.

Job Background/context:
Counterparty Risk Valuation and Advisory is part of the Quantitative Risk and Stress Testing group and provides quantitative & analytical support to Citi product businesses, relationship managers and independent risk management

Citi’s Risk Management framework recognizes the wide range and diversity of global business activities by balancing strong corporate oversight with defined independent risk management functions at the business level.

Key Responsibilities:
Actively support internal risk management process through CCR exposure calculation on structured or exotic derivative products across all the market/asset classes.

Build ad-hoc model in python library for new products and write model document

Project manage CCR related analytical tool related project, conduct testing, requirement documentation and project follow up

Conduct system investigation for production issues raised by risk manager, Assist in the diagnosis and remediation of these issues, by working alongside the Trading Book Data Analytics team and risk IT, facilitate & enhance the process to fix the production issues

Where applicable, Conduct model documentation and Coordinate with risk architecture and risk technology to test implement of CCR models.

Build strong relationship between front office businesses, internal risk management and capital teams, proactively advise on risk & capital related projects and issues, facilitate better risk & capital decisions.

Development Value:
Gain extensive product/structure knowledge of all asset classes.

Gain deep understand on a high level view of industry regulatory new requirements

Risk management expertise.

Interaction with all businesses across Citi.

Global market knowledge

Knowledge/Experience:
Years of relevant experience in a quantitative role in financial/consulting services with good understanding of derivatives’ risk/modelling/pricing

Product knowledge of a wide range of derivative structures of different asset classes (e.g. FI, Eqty, cmdty, FX, Credit)

Knowledge of market & credit risk management techniques/frameworks are desirable.

Skills:
Knowledge programming languages (e.g. python, C++ etc.) is preferred.

Basic database skills and knowledge in either Oracle , Sybase or other relational database is required.

Good spreadsheet skill is preferred.

Qualifications:
Masters or PhD in a quantitative discipline

Competencies:
Self-driven, with strong work ethic

Good communication skill is essential as the position requires quantifying risks and explaining them in a quick decision making environment.

Ability to lead discussions on structured products’ credit exposure/credit risk confidently with a range of people (from desk quants to credit officers).

Eagerness & ability to grasp the complexity of structured derivatives quickly.

Valuing Diversity:
Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organizational success.

This job description provides a high-level review of the types of work performed. Other job related duties may be assigned as required.

Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

Job Family Group:
Risk Management

Job Family:
Risk Analytics, Modeling, and Validation

Time Type:
Full time

Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries (“Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

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About the Company

Company: Citi –

Company Location:  London

Estimated Salary:

About Citi -