Citi Group Counterparty Credit Risk Quantitative Analyst - VP hybrid 

United States, New York, New York 

598027660

Job Purpose:

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.

Key Responsibilities:

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

• Assist project manager to build sCEF calculator inventory

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

• 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 enviornment.

• 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.

Anticipated Posting Close Date:

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