Citigroup Global Markets Inc. seeks a Credit Portfolio Officer for its New York, New York location.
Duties: Monitor client portfolios to ensure that risks are controlled, with a focus on credit risk exposures arising from market sensitive portfolios. Perform weekly and monthly risk analysis and reporting on client portfolios as well as customized risk analysis on new client portfolios. Analyze attributions by breaking down to sub-portfolios and by each market factor sensitivity. Conduct trend analysis on various measures from a general level to support the supervision of the overall counterparty risk. Analyze areas of potential risk to assets, earning capacity, and success of organizations. Conduct statistical analyses to quantify risk, using statistical analysis software or econometric models. Confer with traders to identify and communicate risks associated with specific trading strategies or positions. Contribute to development of risk management systems. Develop and enhance tools for the measurement, monitoring and management of counterparty exposure including PFE (Potential Future Exposure), risk capital, wrong way risk and stress testing. Use Python and Tableau to create tactical solutions to implement calculations and analyses required for counterparty exposure monitoring and stress testing reviewing. Use Value at risk (VaR) to apply risk quantification methodologies and calibrate stress scenarios based on historical and simulated data. Use data mining and machine learning methodologies to find patterns of counterparty risks with portfolio data of trading activities and market factor sensitivities. Develop or implement risk-assessment models or methodologies. Devise systems or processes to monitor validity of risk assessments. Develop quantitative models and calibrate the model parameters to assess key risks arising from the market volatilities, impacting firm-wide counterparty portfolios. Program and run the Monte Carlo simulation to generate randomized portfolios, based on big dataset and historical time series. Conduct historical simulation to generate the potential profit and loss vectors to back-test the converge of the model parameters. Apply advanced statistical techniques to analyze historical scenarios under stressed market conditions, throughout the economic cycles. Work with quantitative and IT groups to enhance current risk model methodology and collaborate with model validation team to validate the models. Devise systems and frameworks to monitor the risk and perform on-going performance assessment. Analyze the impact of potential future market movements using Probability and Statistical Inference. Price derivatives products under stress scenarios by ad-hoc requests from trading desks and assess the credit risk of such products. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.
Requirements: Requires a Bachelor’s degree or its foreign equivalent in Mathematics, Economics, or related field and 1 year of experience as a Market Risk Analyst, Analyst, or related position involving pricing of derivatives products working in the financial services industry. 1 year of experience must include: Statistical and Data Analysis; Time series analysis, Probability and Statistical Inference; Python, Tableau, Bloomberg API; Risk limit framework, risk appetite framework; and Data mining, Machine learning methodologies. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #24761306. EO Employer.
Wage Range: $142,264.01 to $187,300
Job Family Group: Risk Management
Job Family: Credit & Portfolio Risk Management
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Primary Location:
New York New York United States------------------------------------ ------------------
Primary Location Full Time Salary Range:
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:
Aug 13, 2024---------------------------------- --------------------
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