The Quantitative Risk and Stress Testing (QRS) group’s objective is to provide analytics and analyses to colleagues within Risk as well as our partners across Citi. Within the QRS, the Counterparty Risk Analytics team is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures for derivatives products. These models are used for advanced Basel regulatory capital calculations and internal risk management measures. The role’s focal point will be to support the further development of Citi’s counterparty risk analytics framework.
- Contribute to counterparty credit risk model development;
- Perform rigorous model testing, including back-testing and other testing involved in the model development process;
- Conduct statistical analysis on large volume of financial data;
- Prepare model documentations and coordinate with risk IT technology to test implementation of counterparty credit risk models;
- Build-up of local expertise in counterparty credit risk models and relationships with internal risk management and other functions;
- Support for regulatory capital model approvals and related risk management processes
- In-depth knowledge for all counterparty credit risk models and all trading book products will provide significant business and personal development opportunities
- Gain extensive product/structure knowledge of all asset classes
- Gain deep understand on a high level view of industry regulatory requirements
- Interaction with all businesses across Citi
- Experience: 3+ years experience as a quant in the financial industry
- Qualifications: MSc/PhD in a quantitative field;
- Knowledge: Excellent mathematical skills, including stochastic calculus, probability and statistics;
- Skills: Implementation work will require strong knowledge of programming in Python, C++ or other appropriate language
- Competencies: Excellent communication skills, both oral & written; ability to organize time, work to a plan, and finish all tasks accurately and on time; strong motivation and desire to learn; team working.