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Citi
,
London, Greater London
Quant Risk Analyst
Overview
Job Description
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. **Key Responsibilities:** + 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 **Development Value:** + 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 **Qualifications:** + Experience: Solid Working knowledge 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. ----- Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - GB ----- Time Type : ----- Citi is an equal opportunity and affirmative action employer. Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity. 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 CLICK HERE at . To view the "EEO is the Law" poster CLICK HERE at . To view the EEO is the Law Supplement CLICK HERE at . To view the EEO Policy Statement CLICK HERE at . To view the Pay Transparency Posting CLICK HERE at . Citi is an equal opportunity and affirmative action employer. Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.