Quantitative Counterparty Credit Risk Analytics Manager

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

Quantitative Counterparty Credit Risk Analytics Manager

  • 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: 18077652


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.
Within Independent Risk Management, CEP Quantitative Risk and Stress Testing (QRS) 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 directly support the Head of Market and Counterparty Credit Risk Analytics by being the main point of contact within the CEP for counterparty credit risk regulatory capital models. This will involve the management of the models as well as their appropriate and accurate reflection in advanced regulatory capital requirements calculations.

Key Responsibilities

• Support for local regulatory capital model approvals and set-up of related risk management processes, including demonstration of appropriateness of models for CEP.
• Build up local expertise in independent risk models for counterparty credit risk. Contribute to counterparty credit risk model development according to overall global priorities of QRS.
• 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.
• Ensure adequate and appropriate ongoing performance assessments are performed on IMM risk models used by CEP, based on Citi infrastructure and tools, 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, this impact is a critical information needed for internal capital planning and external communication to regulators.
• Ensure remediation of findings and weaknesses found in internal (e.g. validation and internal audit reports for the CEP) and external examinations (e.g. examination reports of the regulatory authorities).


Experience and Skills

• Significant work experience in a quantitative role in financial/consulting services with good understanding of trading book risk modeling and counterparty credit risk management.
• In-depth knowledge of a wide range of derivative structures of different asset classes. Eagerness and ability to grasp the complexity of structured derivatives quickly.
• Strong interpersonal, influencing and analytical skills are 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 different part of the organisation (from desk quants to credit officers).
• Basic database skills and knowledge in either Oracle, Sybase or other relational database are required. Knowledge of Unix and programming languages (e.g. C++, Matlab, Perl etc.) are desirable.


• Excellent 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 role that will enable you to drive the development and implementation of counterparty credit risk models and engage with a variety of stakeholders within CEP and across Citigroup giving you the opportunity to learn and grow.

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