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Citi is an American multinational investment bank and financial services corporation headquartered in New York City, NY.
(more about Citi)Secured Counterparty Exposure Team, Quantitative Market Risk Analyst, AVP
Located on the Trading Floor, Citi’s Secured Counterparty Exposure team structures umbrella trading-programs for clients, optimizing risk vs profitability. Accordingly, the group increases Citi’s fee-based revenue and market-making execution. Employing risk-based solutions across asset classes; the desk aims to increase Citi’s profitability while managing the firm’s risk in times of market volatility and stress. Key responsibilities of the group include risk analysis, risk identification, exposure monitoring and stress testing.
Based in New York the individual will interact with clients and internal stakeholders to provide customized solution to optimize their portfolios from a revenue, risk and regulatory perspective. The role requires candidates to have strong background in risk, finance and knowledge of derivatives products, as well as the ability to articulate complex ideas to management and clients.
Core Responsibilities:
Monitor and assist in the design of portfolio risk management solutions to meet clients’ objectives
Monitor client exposures and communicate to internal trading desks, Credit Risk and external clients
Estimate initial margin requirement using Standard Initial Margin Model (SIMM) on trade proposals
Liaise with quant and technology teams to investigate initial margin model backtesting results and explain model outcomes
Work with external vendors to optimize initial margin exposure
Utilize risk management tools for the measurement, monitoring and management of exposure
Develop processes to streamline data and risk analysis tasks
Compile presentations and documentation for internal or external use on various relative topics
Qualifications:
5+ years experience in a related position
Experience in empirical data analysis, risk modelling and stress testing
Familiar with foreign exchange, interest rate and credit derivatives. Knowledge of structured products is a plus
Familiar with risk concepts (such as VaR, risk sensitivities) and ability to identify relevant risk drivers
Ability to work in a cross functional team and to work well under pressure
Skills/Competencies:
Strong written and verbal communication skills
Programming skills in Python and VBA
Strong analytical skills and familiarity with statistical tools and methods
Working knowledge of SQL and database queries
Experience in risk management and stress testing
Excellent attention to detail
Sound risk and business judgement
Experience in Tableau is a plus
Education:
Bachelor’s/University degree or equivalent experience required
Degree in Mathematics, Physics, Engineering or Financial Engineering (highly preferred)
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Job Family Group:
Risk Management-------------------------------------------------
Job Family:
Business Risk & Controls------------------------------------------------------
Time Type:
Full time------------------------------------------------------
Primary Location:
New York New York United States------------------------------------------------------
Primary Location Salary Range:
$105,510.00 - $158,270.00------------------------------------------------------
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.
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 review Accessibility at Citi.
View the "EEO is the Law" poster. View the EEO is the Law Supplement.
View the EEO Policy Statement.
View the Pay Transparency Posting
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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.