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.
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:
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.
Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.
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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:
$142,320.00 - $213,480.00
In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & 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 additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.
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Anticipated Posting Close Date:
Jul 10, 2024---------------------------------- --------------------
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.
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