Market Risk Analyst, Vice President

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in analysis, problem solving and communication to Citi’s Risk Management Team.

By Joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Team/Role Overview

This position provides an excellent opportunity for a quantitative risk analyst with a background in market risk to work within Citi’s Legal Entities in London. In this role, the successful candidate will be responsible for critical deliverables involving complex market risk models related to the bank’s Basel 2.5 implementation in line with Citi's internal and regulatory standards.

Currently, the Market Risk Analytics group is involved in many advanced and exciting modelling activities. Therefore, for someone with the right competency, keen interest, high degree of motivation and energy, the role offers an excellent opportunity to be at the centre of market risk model methodology developments. This role creates a broad set of opportunities for interaction with a wide range of internal functions as well as senior management within the bank.

What you’ll do

• The role requires knowledge of the current Basel 2.5 modelling. This includes for example VaR, SVaR, Risk-not-in-VaR, IRC.
• Develop methodology for quantitative analysis required on various work streams for Basel 2.5 implementation within the bank.
• Provide robust, controlled, reusable, and scalable analytics capabilities to address specific Legal Entities requirements (VaR breach analysis, Backtesting, ad-hoc analyses requested by other teams).
• Produce high quality documentation for models, interact with the model validation team.
• Work with existing market risk models as required, and provide solutions where weaknesses are identified in testing, or where new business needs require model enhancements.
• Interact confidently with other risk management teams, governance teams, the front office, technology and control groups to implement improvements to the market risk models and to support any related production processes.
• Prepare reports and detailed quantitative analysis for presentation to senior management and regulators.
• Pro-actively develop deep knowledge of the forthcoming Market Risk regulations of the Fundamental Review of the Trading Book (FRTB) and its application in the legal entity.   

What we’ll need from you

• Experience in Risk and knowledge of one or more of the following is an advantage: derivatives pricing, exotic products, risk management practices, regulation, numerical computation, statistics.
• Experience in developing complex end-to-end models, including: identifying key steps, data analysis, ability to provide critical insights and original solutions.
• Expert level hands-on IT skills (for example: Python, C/C++, SQL, Excel, and other quantitative analytics software) are required.
• Excellent oral and written communication skills. Ability to communicate with people at all levels of seniority in the organization.
• Ability to listen and understand stakeholders’ needs and find effective/comprehensive solutions.
• Educated to postgraduate level (preferably MSc or PhD in financial, mathematical or similar quantitative field), with an excellent academic record.

What we can offer you

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 London, 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 such as: 

• Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure
• A discretional annual performance related bonus 
• Private medical insurance packages to suit your personal circumstances
• Employee Assistance Programme
• Pension Plan 
• Paid Parental Leave 
• Special discounts for employees, family, and friends 
• Access to an array of learning and development resources 

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 energised 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.

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