The Counterparty Risk Analytics team within Citi Quantitative Risk and Stress Testing group is looking to add an VP level quantitative analyst.
The Counterparty Risk Analytics team is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures of OTC derivatives, Exchanged-Traded derivatives and Security Financing Transactions. The models are used for advanced Basel regulatory capital calculations, stress testing, and internal risk management measures.
Besides model use supports, the team also provides live-deal analysis to business and risk management. The team also conduct impact analysis for capital optimization initiatives and new regulatory rules related to counterparty risk. They support to ensure that models and data logic are implemented correctly in credit risk systems.
Key responsibilities include:
Enhance counterparty credit exposure simulation, pricing, and margin/aggregation models for derivatives products, covering all major asset types
Perform rigorous model testing for all production models, including back-testing, stress testing, and other testing involved in the model development process
Analyze and provide comprehensive explanation of testing results to model reviewers including model validation, risk managers, and senior management
Perform statistical analysis on large volume of financial data, such as historical data analysis and simulation model parameter calibration
Support trading book credit risk management; Calculate portfolio level counterparty exposure, used for both internal risk management, regulatory capital calculation, and stress testing
Masters Degree required and PhD degree preferred from a quantitative field (Math, Statistics, Finance) with 5+ years of experience.
Experience in counterparty risk modeling a plus.
Solid programming skills in Python. C++ is a plus.
Strong knowledge of financial products, stochastic calculus, liner algebra, and derivatives modeling.
Strong work ethic.
Great communications skills in both verbal and written
Demonstrated project management and organizational skills and capability to handle multiple projects at one time
Grade :All Job Level
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Time Type :Full time
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