Quantitative Risk Analyst, Associate Vice President

citi.com; New York (NY); Hybrid; USD 100,000 - 130,000; Full time

Job summary

Join a leading global financial institution as a Quantitative Risk Analyst in Dublin. You will develop methodologies for market risk models and engage with various teams to enhance analytics capabilities. This role offers professional growth in a supportive environment.

Benefits

Professional development

Inclusive corporate culture

Supportive workplace for parents

Hybrid working model

Qualifications

• Experience in derivatives pricing and risk management practices.
• Ability to interpret regulations into technical specifications.
• Strong hands-on IT skills and excellent communication skills.

Responsibilities

• Develop methodology for quantitative analysis for FRTB-SA implementation.
• Produce high-quality documentation for the FRTB-SA process.
• Interact with model validation team and prepare reports for senior management.

Skills

Quantitative Risk Modelling

Numerical Computation

Risk Management

Statistics

Communication

Education

Postgraduate Degree

PhD

MSc

Tools

Python

R

VBA

C/C++

SQL

Unix

Job description

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in numerical computation and Quantitative Risk Modellingto our Market Risk Analytics team in Dublin.

By joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Team/Role Overview

We have an excellent opportunity available for a Quantitative Risk Analyst, Associate Vice President to join our Market Risk Analytics team in Citi’s office in Dublin. This person will be responsible for critical deliverables involving complex market risk models related to the bank's “Fundamental Review of the Trading Book” (FRTB) implementation.

Currently, Citi is focusing on the end-to-end implementation of the FRTB Standardised Approach (FRTB-SA). Therefore, for someone with the right competency, keen interest, high degree of motivation and energy, the role offers an excellent opportunity to be at the centre of market risk model methodology developments. This role creates a broad set of opportunities for interaction with a wide range of internal functions as well as senior management within the bank.

What you'll do

• Develop methodology for quantitative analysis required on various work streams for FRTB-SA implementation within the bank.

• Provide robust, controlled, reusable, and scalable analytics capabilities for the rapid variations of FRTB-SA rules applied in the various regulatory jurisdictions in which Citi operates.

• Produce high quality documentation for the FRTB-SA process, interact with the model validation team.

• Work with existing market risk models as required, and provide solutions where weaknesses are identified in testing, or where new business needs require model enhancements.

• 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.

What we’ll need from you

• Experience in one or more of the following is an advantage: derivatives pricing, exotic products, risk management practices, regulation, numerical computation, statistics, FRTB: BCBS, CRR2, CRR3, etc. regulations.

• Ability to interpret and translate regulations into technical specification to serve as foundation for the implementation, testing, validation, and compliance.

• Strong hands-on IT skills, for example, with Python, R, VBA, C/C++, SQL, Unix.

• Keen interest in banking and finance, especially in the field of Quantitative Risk Modelling.

• Excellent oral and written communication skills.

• Educated to postgraduate level, with an excellent academic record in a quantitative field (e.g. mathematics, physics, statistics, data science and engineering).

• PhD or equivalent degree / MSc level qualification is strongly preferred.

What we can offer you

• A chance to develop in a highly innovative environment where you can use the newest technologies in a top-quality organizational culture.

• Professional development in a truly global environment

• Inclusive and friendly corporate culture where gender diversity and equality is widely recognized

• A supportive workplace for professionals returning to the office from childcare leave

• An enjoyable and challenging learning path, which leads to a deep understanding of Citi’s products and services.

We work hard to have a positive financial and social impact on the communities we serve. In turn, we put our employees first and provide the best-in-class benefits they need to be well, live well and save well.

By joining Citi Dublin, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed) and enjoy a whole host of additional benefits that support you (and your family) to be well, live well and save well.

Alongside these benefits, Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day.We want the best talent around the world to be energised to join us, motivated to stay, and empowered to thrive.

Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities.

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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