Credit Risk Business Analyst Assistant Vice President

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Job Overview

This Business Senior Analyst (SME) role will sit within the International Credit Risk RWA Technology team which is responsible for delivering Counterparty Credit Risk Management and RWA software solutions to Citi’s Risk organization which manages Citi’s exposure to financial institutions, governments and corporates that trade with Citi. The team builds and maintains software used to compute metrics that help mitigate Citi’s exposure to counterparty default. These include computation of optimal Margin Allocation for Portfolios and Trades, Haircut for Security and Cash Collateral, Trade and Collateral Liquidity, Collateral Concentration Levels and Wrong Way Risk, amongst others. 

Responsibilities:

• Define functional requirements and systems goals through partnership with decision makers, systems owners and end users in Finance and Risk. 
• Identify and establish scope and Credit Risk parameters of systems analysis to define outcome criteria and measure-taking actions
• Analyze processes, gaps in capabilities, as well as appropriate Credit Risk data sources, interfaces and process changes required to address capability gaps
• Generate and compile reports based on findings, including probable causes and potential solutions to systems issues and the ability to understand, analyse, and explain counterparty and wholesale exposures to users.  
• Investigate Potential Future Exposure/EPE/EAD/RWA and related calculations for internal risk management and BASEL regulatory capital reporting based on the exposure profiles generated by the systems.
• Filter, prioritize and validate potentially complex material from multiple sources and perform other duties and functions as assigned
• Appropriately assess risk when business decisions are made, demonstrating consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.

Qualifications:

• 5-8 years of relevant experience in Credit Risk business analysis and Project Management in Capital Markets domain.
• Demonstrated ability to effectively use complex analytical, interpretive, and problem-solving techniques
• Proven ability to develop working relationships and approach work methodically with attention to detail.
• Proven self-motivation to take initiative and master new tasks quickly
• Consistently demonstrate clear and concise written and verbal communication
• Comprehensive experience with all phases of Software Development Life Cycle.
• Good understanding of the mechanics and life cycle of derivatives products, including Options, Futures, Forwards and Swaps. Knowledge of Securities Financing Transactions (SFT) products an advantage.
• Good understanding of Counterparty Credit Risk and some of the following concepts:
  • Potential Future Exposure, Margin (ISDA MNA and CSA), Collateral Haircut, Liquidity and Period of Risk, Settlement Risk.
  • Understanding of Basel III/IV and any other relevant Risk Regulations and measures including PSE, RWA, EAD.
  • Knowledge of Market Risk an advantage including Credit Value Adjustment (CVA).
• Demonstrated ability to work under pressure managing multiple activities and changing priorities

Education:

• Bachelor's degree/University degree or equivalent experience

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Job Family Group:

Technology

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Job Family:

Business Analysis / Client Services

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Time Type:

Full time

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Most Relevant Skills

Please see the requirements listed above.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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