Market Risk Senior Analyst

This position provides an excellent opportunity for an experienced risk analyst with solid programming background to be at the center of Citi's model maintenance and implementation for global and local market risk analytics function. Role has a significant impact on the area through complex deliverables and requires a comprehensive understanding of multiple areas within a function and how they interact in order to achieve the objectives. It will require interactions with technology, risk management, business and governance teams responsible for the entire Citigroup as well as for EMEA legal entities to help them meet more and more challenging expectations from regulators and clients.

Exposure to senior management within the bank is guaranteed. Excellent communication skills are required to negotiate internally, in particular colleagues in other areas.

Responsibilities:

• Construct covariance matrices for historical periods of stress for various portfolios that satisfy required statistical properties. Matrices are the heart of Monte Carlo Value at Risk (VaR) calculation in Risk IT infrastructure.

• Identify and address specific needs of Citi legal entities within EMEA region to meet local regulatory expectation in market risk modelling.

• Work with existing market risk models, and provide solutions where weaknesses are identified in testing, or where new business needs require model enhancements.

• Develop RNIV models to quantify non-standard market risks of complex products that for various reason cannot be a part of VaR framework.

• Research, support, enhance and maintain market risk models; design and develop in-house software for quantitative analysis.

• Interact confidently with other risk management teams, the front office, technology and control groups in order to understand the data and implement improvements to the market risk models and to support any related production processes.

• Model and explain a behavior of complex portfolio of vanilla and exotic derivatives with greeks and risk factor simulations in Basel 2.5 regime.

• Understand differences between regulatory regimes around the globe: BCBS standards and their implementation in North America and EMEA regions.

• Perform advanced analytics with hundreds of thousands of risk factor time series in Monte Carlo VaR.

• Code in Python, Bash, SQL, Perl but be ready to present the results of your analysis to senior stakeholders in an appealing way.

• Be comfortable using PCA for yield curve decomposition and credit spread risk modelling, CAPM model for equity risk modelling, VaR back testing.

• Take the end-to-end ownership of the projects and processes.

• Collaborate effectively within team to solve business problems, support the development of training curriculum and standards, and provide leadership and guidance for junior modelers.

• Ensure compliance with regulatory requirements, internal policies, procedures, and models.

Qualifications:

• 5+ years of experience

• Experience in one or more of the following fields: quantitative risk modelling, market risk management practices, risk regulations, numerical computation, statistics or data analysis, financial model development, application or validation

• Strong hands-on IT skills, for example, with Python, SQL, Unix.

• Sound knowledge of statistical modelling concepts and industry best practices; experience with econometric and statistical modelling or application risk scoring.

• Excellent quantitative and analytic skills; ability to derive patterns, trends and insights; experience working in big data environments; Intellectual curiosity to stay abreast of technological advances.

• Demonstrated initiative and proactive approach.

• Strong sense of ownership and accountability.

• Rapid learning ability and adaptability to new concepts/technologies.

• Commitment to continuous process and tool improvement.

• Self-motivated and detail oriented

• Demonstrated project management and organizational skills and capability to handle multiple projects at one time.

• Excellent written and verbal communication skills.

• Educated to postgraduate level in a quantitative field (e.g. finances, economics, mathematics, physics, statistics, data science and engineering). PhD or equivalent degree will be an additional asset.

By joining Citi Solutions Center Poland, 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:

• Private Medical Care Program

• Life Insurance Program

• Pension Plan contribution (PPE Program)

• Employee Assistance Program

• Paid Parental Leave Program (maternity and paternity leave)

• Sport Card

• Holidays Allowance

• Sport and team recreation activities

• Special offers and discounts for employees

• Access to an array of learning and development resources

• A discretional annual performance related bonus

• A chance to make a difference with various affinity networks and charity initiatives

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.

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Job Family Group:

Risk Management

Job Family:

Model Development and Analytics

Time Type:

Full time

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.

Other Relevant Skills

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

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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