11 days old

Risk Appetite Quantitative Analyst

Citigroup
New York, NY 10176
1552508AM


The Market Quantitative Analysis (MQA) team is looking for a Quantitative analyst to support the front office Risk Appetite Quant team, working along with the trading and XVA desks in managing and optimizing their risk appetite.


**Responsibilities:**


Some key responsibilities include:


+ Understand current methodologies (including Stress Scenarios, CCAR, RWA, ), models and processes existing on the Risk side

+ Understand the data and time series involved

+ Partner with the business and other quant teams to propose and drive any relevant improvements to the current methodologies

+ Partner with the traders to help on prioritization, guidance and direction

+ Build tools to replicate or estimate some of the current calculations

+ Strengthen the processes used for calculating any relevant addon by building analytics and/or liaising with specific asset class quant teams in order to enhance existing pricing models

+ Development and maintenance of in-house python and C++ analytics libraries

+ Appropriately assess risk/reward of transactions when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firms reputation.

+ Be familiar with and adhere to Citis Code of Conduct and the Plan of Supervision for Global Markets and Securities Services; and ensure that all team members understand the need to do the same

+ Adhere to all policies and procedures as defined by your role which will be communicated to you

+ Obtain and maintain all registrations/licenses which are required for your role, within the appropriate timeframe

+ Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behaviour, conduct and business practices, and escalating, managing and reporting control issues with transparency.


**Qualifications:**


+ 4+ years of experience in an analytics role including in Market Risk, working closely on CCAR and Scenario design for either trading or XVA

+ Must have technical/programming skills with exposure to Market Data; Statistics and Probability based calculations

+ Hands on

+ Must also possess any level of product knowledge, Investments and Quantitative Methods

+ Consistently demonstrates clear and concise written and verbal communication skills


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


**Education:**


+ PhD, Masters degree.


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**Job Family Group:**


Institutional Trading

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**Job Family:**


Quantitative Analysis

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**Time Type:**


Full time

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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)


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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.
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

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Risk Appetite Quantitative Analyst

Citigroup
New York, NY 10176

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