Quantitative Credit Risk Senior Analyst
Description About Citi
- Primary Location: Ireland,Leinster,Dublin
- Education: Doctorate Degree
- Job Function: Risk Management
- Schedule: Full-time
- Shift: Day Job
- Employee Status: Regular
- Travel Time: No
- Job ID: 18077607
Citi, a leading global bank, has approximately 200 million customer accounts and a presence in more than 160 countries and jurisdictions worldwide. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Citi enables clients to achieve their strategic financial objectives by providing them with cutting-edge ideas, best-in-class products and solutions, and unparalleled access to capital and liquidity.
Citi Europe plc (CEP) is the main EU banking entity for Citi in EMEA. It has a presence in 22 countries in Europe, covering several key business lines including Markets and Securities Services, Treasury and Trade Services, Corporate and Investment Banking, and Consumer, with Revenue of approx. $2bn and total assets of $50 billion. Department Overview
CEP Independent Risk Management, headquartered in Dublin, acts as the second line of defence for the holistic management of risk across all business lines and locations of CEP. Given the size and importance of CEP in the European Banking arena, CEP is considered a European "Significant Institution" by the European Central Bank and is directly supervised by the Single Supervisory Mechanism in Frankfurt. Team/Position Overview
ICG QRS is responsible for market risk and counterparty credit risk models that are primarily used for regulatory capital calculations and internal risk management measures. The team develops models, conducts model tests and analysis, and also provides analytical support to business and risk management with regard to risk and capital allocations. Key Responsibilities
- Support for local credit risk and credit risk stress testing model approvals and set-up of related risk management processes in CEP
- Build-up of local expertise in independent risk models for credit risk.
- Build strong relationship between group model development, front office businesses, internal risk management and capital teams, proactively advise on risk and capital related projects and issues, facilitate better risk and capital decisions.
- Contribute to credit risk model development according to overall global priorities of QRS.
- Coordinate with global Risk Analytics team to resolve CEP related local model issues.
- Ensure adequate and appropriate ongoing performance assessments (OPA) is performed on credit risk models used by CEP, based on Citi infrastructure and tools, in line with local regulatory requirements, guidance, and expectations.
- Conduct impact analysis for new model implementation, model enhancement to assess provision impact, this impact is a critical information needed for internal planning and external communication to regulators.
- Conduct model documentation and coordinate with risk architecture and risk technology to test implementation of credit risk models.
- Provision of ad-hoc model analyses to support local management.
Experience and Skills
- Excellent academic background, including advanced degree (e.g. PhD) in quantitative discipline, such as economics, finance, statistics/mathematics, sciences or engineering.
- Good communication skill is essential as the position requires quantifying risks and explaining them in a quick decision making environment.
- Ability to lead discussions on structured products' credit exposure/credit risk confidently with a range of people (from desk quants to credit officers).
- Eagerness and ability to grasp the complexity of structured derivatives quickly.
- Extensive years of work experience in a quantitative role in financial/consulting services with good understanding of trading book risk modeling.
- Product knowledge of a wide range of derivative structures of different asset classes (e.g. fixed income, equity, commodity, FX, credit).
- Knowledge of counterparty credit risk management techniques/frameworks.
- Knowledge of programming languages (e.g. SAS, C++, Matlab, Perl etc.) is preferred. Basic database skills and knowledge in either Oracle, Sybase or other relational database is required.
- Good spreadsheet skill is preferred.
What we Offer
- Strong interpersonal and analytical skills.
- Demonstrate integrity.
- Ability to multitask, good time management skills.
- Excellent computer skills.
- Strong influencing skills.
- Strong planning and execution skills.
Exciting opportunity to work within a fast paced global banking environment. As the lead on the approach to stress testing in the entity there is great autonomy and scope to influence key decisions around the measurement of risk in the portfolio. The role will give the candidate exposure to engage with senior management in risk, finance and the business ensuring all three are brought together in their understanding of the portfolio dynamics.
As well as a competitive salary and consideration for a yearly discretionary bonus Citi offer:
- Competitive paid annual leave.
- A non-contributory pension scheme with strong employer contributions.
- Life assurance cover.
- Citi fully covers medical insurance for all employees with generous day to day benefits as well as hospital cover.
- Citi also supports a further education policy.
- Wellness program - on site Occupational Health Centre plus a series of informative talks on topical health related subjects.
- Tax Saver and Bike to Work Schemes.
- Opportunity to work in a flexible environment where the business can support.
At Citi, we pride ourselves on our ability to offer employees a number of lifestyle benefits including an on-site restaurant, coffee dock and shop, a subsidised gym and subsidised social clubs and societies.
Citi boasts a large diversity framework and network which encourages inclusion in the workforce as well as participation in a wide variety of initiatives and events. We also pride ourselves on our engagement with the local community from a Corporate Social Responsibility perspective.
Citi offers employees a competitive benefits package as well as extra additional perks such as corporate discounts and memberships.
Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience. 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 organisational success. Citi is an Equal Opportunities Employer