3 days old

Quantitative Risk Model Analyst Vice President

Citigroup
Warsaw, IN 46580
**Job Description**


The Counterparty Risk Analytics (CRA) team is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures of OTC derivatives, exchanged-traded derivatives, security financing transactions, and margined loans. The models are used for advanced Basel regulatory capital calculations, CCAR/Internal Capital Adequacy Assessment Process (ICAAP) estimations, and internal risk management measures (PFE/EPE). Additionally, the team provides live-deal analysis to business and risk management by calculating credit exposure factors at trade and portfolio levels, estimating allowable collateral levels, and determining initial margin requirements. The team also conducts impact analysis for capital optimization initiatives and new regulatory rules related to counterparty risk, and ensures models and data logics are implemented correctly in credit risk systems.


**Responsibilities:**


+ Develop, maintain and enhance models for counterparty credit risk especially in reference to construction and calibration of counterparty risk covariance matrices and identification of stress period;

+ Calibrate and maintain simulation models for the purpose of counterparty credit risk;

+ Contribute in the production and UAT releases of covariance matrices;

+ Perform impact analysis of any changes in covariance matrices in reference to internal risk management as well as regulatory measures of counterparty credit risk (EPE, PFE, CVA);

+ Develop and implement methodologies, algorithms and diagnostic tools for testing model robustness, stability, reliability, performance, and quality control of modelling data;

+ Develop, maintain, and enhance technical documentation, including project plans, model descriptions, mathematical derivations, data analyses, process and quality controls;

+ Support various tasks in response to regulatory and internal risk management requirements;

+ Prepare reports and detailed quantitative analysis for presentation to senior management and regulators.


**Qualifications:**


+ Experience: 5+ year experience as a quantitative analyst or risk analyst in the financial industry;

+ Solid programming skills, with experience of statistical/data analysis techniques and numerical implementations and some familiarity of modern software development tools, is required.

+ Knowledge: Excellent mathematical skills, including stochastic calculus, probability and statistics;

+ Passionate interest in finance with strong knowledge on regulatory measures of counterparty credit risk and regulatory models;

+ Comfortable interfacing with business clients. Proficiency handling very large data sets;

+ Proficient in Microsoft Office with an emphasis on MS Excel;

+ Consistently demonstrates clear and concise written and verbal communication skills;

+ Self-motivated and detail oriented;

+ Demonstrated project management and organizational skills and capability to handle multiple projects at one time;


**Education:**


Master or higher degree is strongly preferred, with an excellent academic record in a quantitative field (e.g. mathematics, physics, statistics, finance, etc.)


**What we offer:**


+ Work in a challenging area of the financial industry with one of the world's leading companies with exposure to variety of products, processes and controls

+ Cooperation with a high quality, international, multicultural and global team

+ Work in a friendly and diversified environment, appreciating differences in style and perspective and using them to add value to decisions leading to organizational success

+ Management supporting balanced and agile work (flexible working hours, home office)

+ Attractive benefits package (Benefit System, medical care, pension plan etc.)

+ A chance to make a difference with various affinity networks and charity initiatives


-------------------------------------------------


**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 (https://www.citigroup.com/citi/accessibility/application-accessibility.htm)** .


View the "EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) " poster. View the EEO is the Law Supplement (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/OFCCP\_EEO\_Supplement\_Final\_JRF\_QA\_508c.pdf) .


View the EEO Policy Statement (http://citi.com/citi/diversity/assets/pdf/eeo\_aa\_policy.pdf) .


View the Pay Transparency Posting (https://www.dol.gov/sites/dolgov/files/ofccp/pdf/pay-transp\_%20English\_formattedESQA508c.pdf)
Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.

Categories

Posted: 2022-05-13 Expires: 2022-06-12

Before you go...

Our free job seeker tools include alerts for new jobs, saving your favorites, optimized job matching, and more! Just enter your email below.

Share this job:

Quantitative Risk Model Analyst Vice President

Citigroup
Warsaw, IN 46580

Join us to start saving your Favorite Jobs!

Sign In Create Account
Powered ByCareerCast