Quantitative Risk Analyst
- Dublin, Leinster, Ireland
- Permanent, Full time
- 18 Apr 19
Quantitative Risk Analyst
- 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: 18064741
The candidate will join the Stress Testing and Risk Appetite (STRA) team, which sits within the Quantitative Risk and Stress Testing (QRS) group at Citi.
Background / Group Mandate
Firmwide stress testing methodologies are widely used today in Citi's identification and measurement of tail risks to assess potential vulnerabilities and capital adequacy. These are foundational elements used in the firm's risk-return metrics, Board and regulatory reporting, and limit setting frameworks at both Group/CBNA levels and certain business/geographic segments.
The STRA team will be responsible for defining the overall framework and principles of key non-CCAR stress testing methodologies (e.g. GSST and conditional stress loss) and the measurement/monitoring of systemic risks.
Consistent with these principles, the team will be responsible for developing risk management applications based on these methodologies (e.g. centralized ICAAP tools, firmwide internal stress testing, risk identification, concentration risk, countercyclical limit setting) to quantify and measure key tail risks. The team will work closely with partners in Risk, FRI, IT and Finance to implement these solutions and integrate these metrics into key decision making frameworks.
The STRA team is part of the Quantitative Risk and Stress Testing (QRS) group within Citi's risk Management Organization. The QRS group designs and builds methods and models used by the firm to identify and accurate measure our risk taking activities. These include coverage of Market Risk, Counterparty Credit, Wholesale and Retail loan loss reserve and capital, Economic Forecasting, and Risk Capital models.
Examples of projects which the candidate may work on:
•Develop systematic tools to identify and measure broad range of macro and market imbalances (e.g. excessive credit, asset price overvaluation) for risk identification and scenario design inputs
•Estimate the impact of tail risk events (e.g. trade war escalation, interest rate shock) on Citi's PandL through GSST and other stress testing tools
•Review risk-return metrics used for Risk Appetite measurement and propose key enhancements
The candidate will have the opportunity to be exposed to a wide range of analytical problems relevant for senior management decision making (RMEC and Board) and regulatory management. The candidate will also work closely with business, risk, and finance managers across different business and geographical areas of the firm to gain a comprehensive view of Citi's businesses.
•Bachelor's Degree in Economics, Finance, or Business field
•Extensive years of experience in the Financial Services industry, preferably in a role that requires superior problem solving, analytical thinking / capabilities, and excellent oral / written communication skills
•Exceptional writing skills, with ability to synthesize complex concepts and translate into effective presentations to senior audiences
•Excellent organizational and time management skills; ability to work under pressure critical
•Highly motivated with ability to work independently as well as collaboratively on multiple concurrent projects
Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.
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