Quantitative Market Risk Analytics Manager-18077679
Citi, a leading global bank, has approximately 200 million customer accounts and a presence in more than 160 countries and jurisdictions worldwide. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Citi enables clients to achieve their strategic financial objectives by providing them with cutting-edge ideas, best-in-class products and solutions, and unparalleled access to capital and liquidity.
Citi Europe plc (CEP) is the main EU banking entity for Citi in EMEA. It has a presence in 22 countries in Europe, covering several key business lines including Markets and Securities Services, Treasury and Trade Services, Corporate and Investment Banking, and Consumer, with Revenue of approx. $2bn and total assets of $50 billion.
CEP Independent Risk Management, headquartered in Dublin, acts as the second line of defence for the holistic management of risk across all business lines and locations of CEP. Given the size and importance of CEP in the European Banking arena, CEP is considered a European “Significant Institution” by the European Central Bank and is directly supervised by the Single Supervisory Mechanism in Frankfurt.
CEP Risk Analytics sits within the Independent Risk Management function with the Head of Risk Analytics reporting to the CRO. The Head of CEP Risk Analytics is responsible for legal vehicle regulatory capital models, stress testing and economic capital.
The successful candidate will directly support the Head of Market Risk Analytics and Counterparty Credit Risk Analytics by being the main point of contact within the legal entity for market risk regulatory capital models. This will involve the franchise’s management of the models as well as their appropriate and accurate reflection in advanced regulatory capital requirements calculations.
- Support for local regulatory capital model approvals and set-up of related risk management processes for CEP, 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 CEP related local model issues.
- Ensure adequate and appropriate ongoing performance assessments (OPA) are performed on market risk models used by CEP, 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 CEP requirements.
- Extensive years relevant market risk experience in an international banking organisation with a diverse product set.
- 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 structured products’ credit exposure/credit risk confidently with a range of people (from desk quants to credit officers).
- Eagerness and ability to grasp the complexity of structured derivatives quickly.
- Extensive years of work experience in a quantitative role in financial/consulting services with good understanding of trading book risk modeling.
- Product knowledge of a wide range of derivative structures of different asset classes (e.g. fixed income, equity, commodity, FX, credit).
- Knowledge of counterparty credit risk management techniques/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.
- Excellent academic background, including advanced degree (e.g. PhD) in quantitative discipline, such as economics, finance, statistics/mathematics, sciences or engineering.
- Strong interpersonal and analytical skills.
- Demonstrate integrity.
- Ability to multitask, good time management skills.
- Excellent computer skills.
- Strong influencing skills.
- Strong planning and execution skills.
What we Offer
Exciting opportunity to work within a fast paced global banking environment. The role will give the candidate exposure to engage with senior management in risk and across the business.
As well as a competitive salary and consideration for a yearly discretionary bonus Citi offer:
- Competitive paid annual leave.
- A non-contributory pension scheme with strong employer contributions.
- Life assurance cover.
- Citi fully covers medical insurance for all employees with generous day to day benefits as well as hospital cover.
- Citi also supports a further education policy.
- Wellness program - on site Occupational Health Centre plus a series of informative talks on topical health related subjects.
- Tax Saver and Bike to Work Schemes.
- Opportunity to work in a flexible environment where the business can support.
At Citi, we pride ourselves on our ability to offer employees a number of lifestyle benefits including an on-site restaurant, coffee dock and shop, a subsidised gym and subsidised social clubs and societies.
Citi boasts a large diversity framework and network which encourages inclusion in the workforce as well as participation in a wide variety of initiatives and events. We also pride ourselves on our engagement with the local community from a Corporate Social Responsibility perspective.
Citi offers employees a competitive benefits package as well as extra additional perks such as corporate discounts and memberships.
Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.
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