• Research, support, enhance and maintain quantitative market risk models (including, for example, VaR, SVaR and incremental default risk).
• Work with existing market risk models, and propose solutions where weaknesses are identified in testing, or where new business needs require model enhancements.
• Undertake modelling and analysis tasks required on the various internal work streams of “Fundamental Review of the Trading Book (FRTB)” methodology implementation.
• Interact confidently with other risk management teams, the front office, technology and control groups in order 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.
• Design and develop in-house software for research and data analysis.
Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.
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