Quantitative Risk Analyst

Discover your future at Citi

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Job Overview

Are you looking for a career move that will put you at the heart of a global financial institution? We're seeking a highly motivated Quantitative Risk Analyst to join our Dublin office and support North America (NAM) trading desks within the Data, Analytics, Reporting and Technology (DART) team. This unique opportunity allows you to work at the center of global markets, collaborating directly with our US teams while based in Ireland.

We are seeking a highly motivated Quantitative Risk Analyst to join our Dublin office and support North America (NAM) trading desks within the Data, Analytics, Reporting and Technology (DART) team. This unique opportunity allows you to work at the center of global markets, collaborating directly with our US teams while based in Ireland.

Team/Role Overview

The DART Counterparty Credit Risk (CCR) Exposure Analytics team provides crucial quantitative and analytical support to Citi's product businesses, relationship managers, and independent risk management functions. This role is vital in maintaining the integrity of Citi's risk management framework, ensuring that risk is appropriately assessed and managed across the organisation.

The location of this role within DART highlights the importance of technology and data-driven solutions in modern risk management. A deep understanding of fundamental economics and derivative pricing is critical for ensuring the accuracy and relevance of our models.

The Quantitative Risk Analyst position, situated within the Data, Analytics, Reporting and Technology (DART) group, is a critical role responsible for the rigorous quantification, clear communication, and insightful explanation of derivatives' counterparty exposure.

This position presents a unique opportunity to directly influence Citi's global risk management framework, engaging with a diverse spectrum of business activities while contributing to the balance between robust corporate oversight and independent risk management practices at the business level.

What you'll do

• Counterparty Credit Risk (CCR) Exposure Calculation: Actively support the internal risk management process by performing CCR exposure calculations on structured and exotic derivative products across all market and asset classes, ensuring accuracy and timeliness.

• Analytical Model Development: Develop ad-hoc models in Python libraries for new products and structures, incorporating fundamental economic principles and derivative pricing models.

• Create comprehensive model documentation to support future model validation efforts.

• Model Validation and Improvement: Contribute to the validation of existing models, identifying areas for improvement and ensuring alignment with market dynamics and economic conditions.

• Project Management: Manage CCR-related analytical tool projects, including conducting thorough testing, documenting requirements, and ensuring diligent project follow-up.

• Production Issue Resolution: Conduct in-depth system investigations for production issues raised by risk managers.

• Assist in the diagnosis and remediation of these issues, collaborating with relevant teams to facilitate and enhance the resolution process.

• Model Implementation and Documentation: Where applicable, lead the creation of model documentation and coordinate with relevant teams to test and implement CCR models effectively.

• Advisory Role: Build and maintain strong relationships between front office businesses, internal risk management, and capital teams. Proactively advise on risk and capital-related projects and issues, facilitating better risk and capital decisions across the organisation.

• Collaboration and Communication: Effectively communicate complex risk concepts to a wide range of stakeholders. Participate in relevant projects, assisting project managers with testing new functions or features, monitoring progress, and providing timely reports. Provide an advisory role for risk management, business units, and Basel capital teams on credit exposure and capital-related projects, solutions, and issues.

Market Coverage

• This position requires working in alignment with New York market hours.

• We provide strong support to ensure a smooth transition into this schedule and to help you maximize the benefit of working closely with NAM trading desks in real time.  

Development Value

• Gain extensive product and structure knowledge across all asset classes.

• Develop a deep understanding of industry regulatory requirements and their impact on risk management.

• Enhance risk management expertise through hands-on experience and exposure to various risk management techniques.

• Foster interaction with diverse business units across Citi, gaining valuable insights into the organisation's operations.

• Expand global market knowledge through involvement in international projects and initiatives.

• Deepen expertise in economic principles and derivative pricing models.

What we'll need from you

• Relevant years of experience in a quantitative role within financial or consulting services.

• Comprehensive understanding of derivatives' risk, modeling, and pricing.

• Strong product knowledge of a wide range of derivative structures across different asset classes (e.g., Fixed Income, Equity, Commodities, FX, Credit).

• Knowledge of market and credit risk management techniques and frameworks is highly desirable.

• Solid foundation in fundamental economics and its application to financial markets.

• Experience with derivative pricing models and their limitations.

• Proficiency in programming languages such as Python and C++.

• Basic database skills and knowledge in either Oracle, Sybase, or other relational databases.

• Excellent spreadsheet skills.

• Strong analytical and problem-solving abilities.

• Excellent communication and interpersonal skills.

• Ability to apply economic principles to risk management and model development.

• Master's or Ph.D. in a quantitative discipline such as Mathematics, Statistics, Economics, Physics, Engineering, or a related field.

Competencies

• Self-driven with a strong work ethic and the ability to work independently.

• Excellent communication skills, essential for 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 quickly grasp the complexity of structured derivatives.

• Strong understanding of economic principles and their impact on derivative pricing and risk.

What we can offer you

• A chance to develop in a highly innovative environment where you can use the newest technologies in a top-quality organisational culture. 

• Professional development in a truly global environment

• Inclusive and friendly corporate culture where gender diversity and equality is widely recognised

• A supportive workplace for professionals returning to the office from childcare leave

• An enjoyable and challenging learning path, which leads to a deep understanding of Citi’s products and services.

We work hard to have a positive financial and social impact on the communities we serve. In turn, we put our employees first and provide the best-in-class benefits they need to be well, live well and save well.

By joining Citi Dublin, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed) and enjoy a whole host of additional benefits that support you (and your family) to be well, live well and save well. Discover more here.

Alongside these benefits, Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day.  We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive. 

Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities. 

#LI-PM3

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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Most Relevant Skills

Analytical Thinking, Business Acumen, Constructive Debate, Data Analysis, Escalation Management, Policy and Procedure, Policy and Regulation, Risk Controls and Monitors, Risk Identification and Assessment, Statistics.

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Other Relevant Skills

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

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