Head of Market Risk Analytics & Counterparty Credit Risk Analytics

  • Competitive
  • Dublin, Leinster, Ireland
  • Permanent, Full time
  • Citi
  • 19 Apr 19

Head of Market Risk Analytics & Counterparty Credit Risk Analytics

  • Primary Location: Ireland,Leinster,Dublin
  • Education: Bachelor's Degree
  • Job Function: Risk Management
  • Schedule: Full-time
  • Shift: Day Job
  • Employee Status: Regular
  • Travel Time: No
  • Job ID: 18077642


About Citi

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.

Citibank Europe plc (CEP) is the main EU banking entity for Citi in EMEA with a presence in 22 European countries. It covers several key business lines including Markets and Securities Services, Treasury and Trade Services, Corporate and Investment Banking, and Consumer, with revenues of approx. $2bn and total assets of $50 billion which are expected to grow further. CEP has been designated a significant institution by the ECB and is therefore expected to meet enhanced regulatory expectations especially with regard to risk management.

Job Background/Context

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.
CEP Quantitative Risk and Stress Testing (QRS) within the Independent Risk Management is responsible for regulatory capital models and stress testing. In addition, the team provides analytical support to business and risk management with regard to risk and capital allocations.
The successful candidate will be part of the leadership of CEP QRS and act as the main point of contact within the CEP for the market risk and counterparty credit risk regulatory capital models. This will include the management of the models as well as their appropriate and accurate reflection in advanced regulatory capital requirements calculations.

Key Responsibilities

• Lead regulatory capital model approvals and set-up of related risk management processes, including demonstration of appropriateness of models for CEP.
• Ensure compliance with regulatory requirements and governance of IMA and IMM model permissions granted by authorities in respect of market and counterparty credit risk regulatory capital requirements.
• Build-up of local expertise in risk models for market risk and counterparty credit risk.
• Management of CEP QRS market risk and counterparty risk modelling teams.
• Responsibility for regulatory/other models-related deliverables for CEP, including remediation of findings and weaknesses found in internal and external examinations.
• Ensure adequate and appropriate ongoing performance assessments are performed on risk models used by CEP, based on Citi infrastructure and tools, in line with local regulatory requirements, guidance, and expectations.
• Participation in model governance/other committees, at country, regional, and global levels, as required.


Experience and Skills

• Extensive work experience with significant experience in quantitative risk management and exposure to standard market products and models.
• Experience in market risk and/or counterparty credit risk (highly desirable) or other financial model development or validation.
• Up-to-date working knowledge of regulatory requirements and change, specifically those from Basel and European regulatory authorities.
• Excellent communication skills and exceptional ability to manage stakeholders at all levels both within Citi and at the regulators. Excellent organizational and project management skills.
• Management experience (either as a line or project manager).
• Excellent computer skills including programming skills (desirable).


• Very strong academic background, including advanced degree (e.g. PhD/Master) in quantitative discipline, such as economics, finance, statistics/mathematics, sciences or engineering.

What we Offer

This is an exciting hands-on role, suited for an experienced professional who can combine deep technical expertise with a broader skillset of managing stakeholders and driving a strategic agenda. Building on your analytical and technical background, we expect you to lead projects and assignments of high complexity within Citi which will give you the opportunity to engage with senior management across CEP and Citigroup.

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.

The role is a 'Controlled function' CF as defined by the Central Bank Reform Act 2010 and European Central Bank (Single Supervisory Mechanism) Regulations 2014 (and related regulations and guidance).

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