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Senior Quantitative Counterparty Analyst - SVP

Job Req ID 21299137 Primary Location Dublin, Ireland Job Category Risk Management
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The Quantitative Risk and Stress Testing (QRS) group’s objective is to provide analytics and analyses to colleagues within Risk as well as our partners across Citi. Within QRS, the Counterparty Risk Analytics team is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures for derivatives products. These models are used for advanced Basel regulatory capital calculations and internal risk management measures.

The role is for a Senior Quantitative Risk Analyst in Dublin to support the use of the group-wide developed counterparty credit risk models to the local needs of Citibank Europe PLC (CEP) and to contribute to the counterparty credit risk model developments. The successful candidate will also lead a small group of quantitative risk analysts.

This role plays an essential part in having a local counterparty credit risk model expertise in Dublin to ensure the models can be used to determine the legal entity’s regulatory capital requirements as well as related internal risk management measures. It also requires communicating and explain related capital impact internally to businesses and externally to regulators, as well as performing model analysis to support model validation, conduct ad-hoc data analysis to support regulatory inquiries and internal capital optimization for CEP.

Key Responsibilities

  • Contribute to counterparty credit risk model development;

  • Perform rigorous model testing, including backtesting and other testing involved in the model development process;

  • Conduct statistical analysis on large volume of financial data;

  • Prepare model documentations and coordinate with risk IT technology to test implementation of counterparty credit risk models;

  • Build-up of local expertise in counterparty credit risk models and relationships with internal risk management and other functions;

  • Support for regulatory capital model approvals and related risk management and governance processes.

  • Manage a small group of quantitative risk analysts

Development Value

  • In-depth knowledge for all counterparty credit risk models and all trading book products will provide significant business and personal development opportunities;

  • Gain extensive product/structure knowledge of all asset classes;

  • Gain deep understand on a high-level view of industry regulatory requirements;

  • Interaction with all businesses across Citi.


  • Must have experience as a quant in the financial industry;

  • Qualifications: MSc/PhD in a quantitative field;

  • Ideally have Credit or Counterparty Risk experience

  • Knowledge: Excellent mathematical skills, including stochastic calculus, probability and statistics;

  • Skills: Implementation work will require strong knowledge of programming in Python, R, C++ or other appropriate language;

  • Competencies: Excellent communication skills, both oral & written; ability to organize time, work to a plan, and finish all tasks accurately and on time; strong motivation and desire to learn; team working.


Job Family Group:

Risk Management


Job Family:

Risk Analytics, Modeling, and Validation


Time Type:


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