Quantitative Risk Analyst

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Quantitative Risk Analyst

Counterparty Risk Analytics (CRA) is part of Risk Data, Analytics, Reporting, and Technology (DART) group. CRA’s mandate is to develop, maintain, and enhance counterparty risk analytics to consistently measure risk, optimize capital, dimension risk appetite, and allocate these metrics to businesses and geographies; and to support Basel, internal and external stress testing.

The CRA team is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures of OTC derivatives, exchanged-traded derivatives, security financing transactions, and margined loans. The models are used for advanced Basel regulatory capital calculations, CCAR/Internal Capital Adequacy Assessment Process (ICAAP) estimations, and internal risk management measures (PFE/EPE).

Additionally, the team provides support for regulatory and internal stress testing. It involves scenario translation, calibration of parameters and repricing involving derivatives, & security financing products. The exercise generates stress numbers which are used by the firm to make capital related decisions.


  • Research, develop, and implement models for counterparty credit, including stress risk capital and stress testing.
  • Develop and implement methodologies, algorithms and diagnostic tools for testing model robustness, stability, reliability, performance, and quality control of modelling data.
  • Develop, maintain, and enhance technical and non-technical documentation, including project plans, model descriptions, mathematical derivations, data analyses, processes and quality controls
  • Support various tasks in response to regulatory and internal risk management requirements.
  • Enhance counterparty credit exposure simulation, pricing, and margin/aggregation models for derivatives products, covering all major asset classes.
  • Perform rigorous model testing as part of new model development and enhancement of existing models.
  • Provide comprehensive analytical support to all model stakeholders.
  • Contribute model prototype and testing code to the team's codebase, as well as to facilitate implementation of such models with the Risk IT.


  • Master's or equivalent in a quantitative field (Math, Statistics, Physics, Quantitative Finance etc.) with at least two years of post-graduation  experience.
  • Strong knowledge of Algebra, Numerical Methods, Probability/Statistics and Stochastic Calculus.
  • Working knowledge of Python including Numpy and Pandas is essential.
  • Knowledge of Quant Finance foundations is a strong plus.
  • Good verbal and written communication is very important.


  • Solid programming skills, with experience of statistical/data analysis techniques and numerical implementations and some familiarity of modern software development tools, is required. Specific experience in Python, R, using statistical packages, C/C++, UNIX, databases, and version control systems is particularly advantageous
  • Excellent written and verbal communication skills, with ability to synthesize complex technical information and explain it clearly, is required
  • For more senior applicants, actual hands-on experience of quantitative financial modelling (research, development, implementation) and maintaining detailed technical documentation for models, model validation, projects plans and processes, is highly advantageous

We offer:

  • Work in a challenging area of the financial industry with one of the world's leading companies with exposure to variety of products, processes and controls
  • Cooperation with a high quality, international, multicultural and global team
  • Work in a friendly and diversified environment, appreciating differences in style and perspective and using them to add value to decisions leading to organizational success
  • Management supporting balanced and agile work (flexible working hours, home office)
  • Attractive benefits package (Benefit System, medical care, pension plan etc.)
  • A chance to make a difference with various affinity networks and charity initiatives

Ability to work and deliver in a fast paced environment. Deliver with pride.


Job Family Group:

Risk Management


Job Family:

Risk Analytics, Modeling, and Validation


Time Type:

Full time


Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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