Credit Portfolio Sr Analyst

Citi; New York (NY); Hybrid; USD 139,000 - 170,000; Full time

Benefits offered by this job

Medical coverage

401(k) plan

Life insurance

Wellness program

Paid time off

Job summary

Citigroup Global Markets Inc. seeks a Credit Portfolio Senior Analyst for its New York, NY location. You will perform credit reviews, monitor the global credit portfolio and support credit approval processes, applying advanced analytics and risk modeling techniques.

Responsibilities include margin calculations, SIMM and VAR, monitoring Greeks, and developing margin tools with IT teams. This role demands a strong quantitative background and excellent communication within Risk Management.

Qualifications

• Bachelor’s degree or foreign equivalent in a quantitative field and 4 years of experience in credit risk analytics or related area.
• Experience with quantitative modelling for portfolio risk under stress scenarios across multiple asset classes.
• Proficiency in Python, SQL, and data visualization tools for risk reporting and analytics.

Responsibilities

• Perform credit reviews and support credit approval processes.
• Monitor Citi's credit portfolio and identify migration trends using advanced analytics.
• Develop margin models and validate model inputs for regulatory reporting and risk management.

Skills

Quantitative modelling

Python

SQL

Tableau

Risk management

Education

Bachelor's degree in related field

Master's degree in related field

Tools

Tableau

SQL

Excel

Job description

Citigroup Global Markets Inc. seeks a Credit Portfolio Senior Analyst for its New York, NY location.

DUTIES:

Perform credit reviews, support credit approval processes, and monitor Citi’s global credit portfolio to identify credit migration trends by applying in depth disciplinary knowledge and integrating subject matter and industry expertise within the Risk Management function. Contribute to the development of new analytical techniques and enhancements to existing processes and workflows by analyzing credit and financial performance through statistical scoring, segmentation, regression, and simulation methodologies. Perform portfolio risk analysis and scenario analysis for OTC derivatives across assets. Analyze quantitative risk models and provide margin estimate for traders using a risk-based variance-covariance model. Evaluate risks (greeks) for each individual constituents with different risk weights and correlations. Create CRIF (Common Risk Interchange Format) files for portfolio derivatives for model input. Calculate initial margins using SIMM (Standard Initial Margin Model) and evaluate the results based on risk sensitivity measures. Validate trade recommendations to optimize margin utilization. Perform multi-lateral Initial Margin optimization for Interest Rates, Foreign Exchange, Equities, Commodities and Credit. Run and calculate Initial Margin savings for multi-lateral Initial Margin optimization. Handle disputes pledged and secured initial margins between Citi and counterparties using SIMM and Uncleared Margin Rule knowledge. Analyze the root causes of initial margin difference by comparing risk (greeks) and regulations between two parties. Develop margin models, validate model inputs, assess model assumptions and evaluate model performance. Perform model research on methodologies of existing commercial margin risk models. Integrate models into the firm’s systems. Enhance front office margin analytical tools and upstream risk framework. Calculate house Initial Margin requirements using Value-at-risk model and validate volatility shocks of risk factors. Investigate, document and maintain Initial Margin issues due to large daily changes and disputes. Work with quant and IT teams to develop efficient computational processes. Perform UAT testing of margin models and perform evaluation. Review market data feeding into the technology system. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols.

REQUIREMENTS:

Bachelor’s degree, or foreign equivalent, in Applied Mathematics, Financial Engineering, Operations Research, Information Engineering, or a related field, and four (4) years of experience in the job offered or in a related occupation performing credit risk analytics, credit portfolio monitoring, and financial risk analysis. Four (4) years of experience must include: Performing quantitative modelling to calculate portfolio risk under stress scenarios for financial derivatives portfolios across multiple asset classes; Performing calibration and maintenance of risk models and enhancing front office risk analytical tools and upstream risk framework; Automating and enhancing daily risk change framework and performing sanity checks for risk data quality using Python, SQL and Tableau; Analysing historical data of market factors and their statistical properties to build Value-at-risk Models for Foreign Exchange, Interest Rates, Equities and Commodities for market risk management; Validating trade recommendations to optimize portfolio risks for Foreign Exchange, Interest Rate, Equity, Commodity, and Credit products; and Identifying and resolving discrepancies about risk model outputs by validating risks (greeks) from pricing models and implementing algorithms to determine material disputes for regulatory reporting. In the alternative, employer will accept a Master’s degree, or foreign equivalent, and two (2) years of experience. 40 hrs./wk.

Primary Location: New York New York United States

Time Type: Full time

Wage Range: $154,856.00 to $154,856.00

Anticipated Posting Close Date

Nov 09, 2026

Most Relevant Skills

• Wholesale Lending Operations Management.

Primary Location Full Time Salary Range

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
• wellness programs

Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.

• planned time off (vacation)
• unplanned time off (sick leave)
• 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.

Automated Processing and AI

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