Counterparty Credit Risk Quant Analyst

1 week ago

New York, New York, United States Citigroup Inc Full time
Job Purpose:

The objective of this role is to assess, articulate, and elucidate the counterparty exposure associated with derivatives, thereby aiding the risk management and business decision-making processes. This will involve utilizing proprietary models and tools to compute counterparty credit exposure, such as Potential Future Exposure.

The position will also engage in the development of analytical models and tools essential for calculating derivatives' exposure, preferably using Python, and documenting these models for future validation.

Additionally, participation in projects related to credit systems may be required, including assisting project managers in testing new functionalities and features, while monitoring and reporting progress efficiently.

Provide advisory support to risk management, business units, and Basel capital concerning credit exposure and capital-related initiatives, solutions, and challenges.

Job Background/Context:

The Counterparty Risk Valuation and Advisory team operates within the Quantitative Risk and Stress Testing division, delivering quantitative and analytical support to Citi's product divisions, relationship managers, and independent risk management.

Citi's Risk Management framework acknowledges the extensive range and diversity of global business activities, balancing robust corporate oversight with defined independent risk management functions at the business level.

Key Responsibilities:
  • Support the internal risk management process by calculating CCR exposure on structured or exotic derivative products across various market and asset classes.
  • Assist project managers in developing a comprehensive sCEF calculator inventory.
  • Create ad-hoc models using Python libraries for new products and prepare model documentation.
  • Investigate production issues raised by risk managers, assisting in diagnosis and resolution by collaborating with the Trading Book Data Analytics team and risk IT to enhance the issue resolution process.
  • Where applicable, conduct model documentation and coordinate with risk architecture and technology to implement and test CCR models.
  • Foster strong relationships between front office businesses, internal risk management, and capital teams, proactively advising on risk and capital-related projects and challenges to facilitate informed decisions.
Development Value:
  • Acquire extensive knowledge of product structures across all asset classes.
  • Gain a comprehensive understanding of industry regulatory requirements.
  • Develop expertise in risk management.
  • Engage with various business units across Citi.
  • Enhance global market knowledge.
Knowledge/Experience:
  • Several years of relevant experience in a quantitative role within financial or consulting services, with a solid understanding of derivatives' risk, modeling, and pricing.
  • Familiarity with a broad spectrum of derivative structures across different asset classes (e.g., Fixed Income, Equity, Commodities, Foreign Exchange, Credit).
  • Knowledge of market and credit risk management techniques and frameworks is advantageous.
Skills:
  • Proficiency in programming languages (e.g., Python, C++) is preferred.
  • Basic database skills and familiarity with relational databases such as Oracle or Sybase are required.
  • Strong spreadsheet skills are preferred.
Qualifications:
  • A Master's or PhD in a quantitative discipline.
Competencies:
  • Self-motivated with a strong work ethic.
  • Excellent communication skills are essential, as the role involves quantifying risks and conveying them in a fast-paced decision-making environment.
  • Ability to confidently lead discussions on credit exposure and risk related to structured products with a diverse audience, from desk quants to credit officers.
  • Willingness and capability to quickly grasp the complexities of structured derivatives.
Valuing Diversity:

Demonstrates an appreciation for a diverse workforce, valuing differences in style and perspective to enhance decision-making and organizational success.

This job description provides a high-level overview of the responsibilities involved. Additional job-related duties may be assigned as necessary.

Exceptional candidates who do not meet all criteria may still be considered for the role if they possess the requisite skills and experience.

Job Family Group:
Risk Management

Job Family:
Risk Analytics, Modeling, and Validation

Time Type:
Full time

Primary Location:
New York, New York, United States

Primary Location Full Time Salary Range:
$142,000 - $213,480.00

In addition to salary, Citi's offerings may also include discretionary and formulaic incentive and retention awards. Citi provides competitive employee benefits, including medical, dental, and 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 further information regarding Citi employee benefits, please visit the company's official site.

Citi is an equal opportunity and affirmative action employer.

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

Citigroup Inc. and its subsidiaries invite all qualified interested applicants to apply for career opportunities. If you require reasonable accommodation due to a disability, please review the company's accessibility options.

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