Quantitative Analyst - Counterparty Credit Risk team, AVP (C12) - New York

Markets Quantitative Analysis Department (MQA) is a division of the Global Markets business and has responsibility for providing the analytical models which are used for pricing securities and risk managing the Firm’s positions throughout the Markets’ businesses. The scope of responsibilities for the role extends from the research into the mathematics of the model, through its coding, testing, and documentation, and finally to its delivery both to the desktop and to Technology.

The role is in the MQA Counterparty Credit Risk team (MQA-CCR). The MQA-CCR team is responsible for developing and maintaining the end-to-end set of methodologies needed to calculate counterparty credit risk exposures of OTC and ETD derivatives, from simulation and pricing across all asset classes to the effect of risk mitigants. The models are used for advanced Basel regulatory capital calculations and internal risk management measures.

What you’ll do

• The role will be particularly focused on analytical aspects related to risk mitigants i.e. the simulation of margin requirement under different type of security agreements and the effect of different types of collateral
• Participate in the creation of a new collateral library, expected to improve on both analytical and implementation aspects of the existing production framework   
• Write production-quality code, tests and documentation
• Document and explain analytical choices, design and run model and algorithmic tests as part of the internal model review process
• Analyze and provide comprehensive explanation of model outputs to internal and external clients

What we’ll need from you

• Ability to independently problem-solve
• Strong object-oriented programming skills in Python with experience in C++ and parallel computing a plus
• Ability to communicate advanced concepts in a concise and logical way, strong interpersonal and communication skills (verbal and writing)
• Strong work ethic and a team player with excellent time management skills and ability to multi-task
• Solid background in mathematics and finance
• 5-8 years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector

Education:

• Bachelor’s/Master’s Degree, PhD or equivalent experience

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In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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