Quantitative Market Risk Analyst

Citibank - More jobs by this advertiser
Quantitative Market Risk Analyst-18066252

Job Purpose:

In tandem with the creation of Citi’s new legal entity in Germany (i.e. CGME), a number of new roles will be created in ICG QRS in Frankfurt. The role advertised is for a Senior Analyst in Frankfurt to support on market risk  CCR models related topics arising from CGME perspective.


The role will involve very close collaboration with the rest of QRS in EMEA, including Market Risk Analytics, as well in North America and other locations.

The role’s focal point will be to support on the adoption of the group-wide developed market risk models to the local needs of CGME, in collaboration with the Market Risk Analytics model development team.

This role will play an essential part in building up the local market risk model expertise in Frankfurt as per the requirements of  the local regulator. This is necessary to ensure that the models can be used to determine the legal entity’s regulatory capital requirements as well as related internal risk management measures. The role also requires communicating and explaining capital impact from market risk models internally to business 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 CGME.



Job Background/Context:

In relation to Brexit, Citi's goal is to ensure continuous and consistent service for our UK and EU clients by retaining safety and soundness and limiting the impact to our business. While we will continue to operate in the UK market, we also need to develop a new solution for the EU market. Accordingly, Citi is planning to headquarter a new EU investment firm (broker-dealer) in Frankfurt, leveraging its existing infrastructure, people, and expertise there, as well as recruiting new talents in Germany.
Quantitative Risk and Stress testing (QRS) enables decision making and efficient capital management for Citi’s businesses through the effective design and build of methods and models for the identification and accurate measurement of risk.  QRS is a highly responsive, efficient, and rigorous analytical team which offers innovative and quick-to-execute quality solutions and support. The QRS organization enables top performing talent to grow and develop while delivering value to Citi.



Key Responsibilities:

• Support for local regulatory capital model approvals and set-up of related risk management processes for Citi’s broker-dealer in Germany, including demonstration of appropriateness of models for the new legal entity
• Build-up of local expertise in independent risk models for market risk
• Build strong relationship between group model development, front office businesses, internal risk management and capital teams, proactively advise on risk and capital related projects and issues, facilitate better risk and capital decisions
• Contribute to market risk model development according to overall global priorities of QRS
• Coordinate with EMEA Market Risk Analytics team to resolve CGME related local model issues
• Ensure adequate and appropriate ongoing performance assessments (OPA) are performed on market risk models used by CGME, based on Citi infrastructure and tools, and in line with local regulatory requirements, guidance, and expectations
• Coordinate with technology support staff, risk architecture and regulatory capital risk managers to conduct impact analysis for new model implementation, model enhancement to assess capital impact
• Conduct model documentation and coordinate with risk architecture and risk technology to test implementation of market risk models
• Ensure remediation of findings and weaknesses found in internal (e.g. validation and internal audit reports for the new legal entity) and external examinations (e.g. examination reports of the German regulatory authorities)
• Provision of ad-hoc model analyses to support local management
• Ensure that the design and implementation of the Fundamental Review of the Trading Book (FRTB) is in line with local CGME requirements



Development Value:

• Gain extensive product/structure knowledge of all asset classes
• Gain deep understanding on a high level view of industry regulatory new requirements
• Risk management expertise
• Interaction with all businesses across Citi
• Global market knowledge
• Significant scope for improving processes and practices
• Build-up of in-depth knowledge for all market risk models and all trading book products will provide significant business and personal development opportunities


• Excellent academic background, including advanced degree (e.g. PhD) in quantitative discipline, such as economics, finance, statistics/mathematics, sciences or engineering
• Fluent in English, written and spoken
• German language skills appreciated



• Good communication skill is essential as the position requires quantifying risks and explaining them in a quick decision making environment.
• Ability to lead discussions on market risk models confidently with a range of people (from desk quants to risk managers).
• Eagerness and ability to grasp the complexity of  financial derivative products and market quickly




• 5+ years of work experience in a quantitative role in financial/consulting services with good understanding of derivatives' risk/modelling/pricing
• Product and pricing knowledge of a wide range of derivative structures of different asset classes (e.g. fixed income, equity, commodity, FX, credit)
• Knowledge of market risk management techniques and frameworks 



• Knowledge of unix and programming languages (e.g. C++, Matlab, Perl etc.) is preferred. Basic database skills and knowledge in either Oracle, Sybase or other relational database is required.
• Good spreadsheet skill is preferred





Valuing Diversity:


Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organisational success.



Citi is an Equal Opportunities Employer


22 February 2019
Location: Germany Hedmark Frankfurt am Main
Work type:
Full time
Banking and Financial Services
PLEASE! No enquiries from Recruitment Agencies or Headhunters.

Only direct applications will be considered.

This career opportunity is no longer open.
Please search for current vacancies here.

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