GF - Quantitative Risk Analyst - Officer GF - Quantitative Risk Analyst - Officer …

Citi
in Singapore
Permanent, Full time
Be the first to apply
Competitive
Citi
in Singapore
Permanent, Full time
Be the first to apply
Competitive
Citi
GF - Quantitative Risk Analyst - Officer
Position Responsibilities
  • Calculate counterparty risk exposure on derivative products across all markets/asset classes.
  • Conduct investigations on PSE related issues as SMEs to internal stakeholders.
  • Perform month end reviews and adjustments for limit monitoring purposes.
  • Work on projects to further global systematic calculation of derivatives' counterparty risk and risk management process.
  • Actively participate in further development of counterparty analytics tools and infrastructure.
  • Develop and validate models for pricing, risk factor simulation and exposure calculation, including writing Model Development Documents.
  • Advise on credit risk mitigation and explain counterparty risks to sales, trading & credit risk management. Provide trainings on methodology and systems.


  • This role offers the opportunity to work on a whole spectrum of products for counterparty risk analysis, to get hands-on experience with modelling and risk infrastructure.

    Position Requirement
  • Masters/PhD in a quantitative discipline with derivatives math knowledge. 2 to 5 years working experience in a quantitative role in financial/consulting services with good understanding of derivatives' modelling/pricing.
  • Good communication skill is essential, as the position requires quantifying and explaining risks in an environment that involves fast decision-making.
  • Good team player and willingness to learn.
  • Knowledge of market risk management techniques is desirable.
  • Knowledge of Unix and programming (e.g. C++, Python, Perl and SQL etc.).
  • Knowledge of a wide range of derivative products (FI, equity, commodity, FX, credit) would be ideal.


Job Family Group:
Risk Management

Job Family:
Risk Analytics, Modeling, and Validation

Time Type:

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