Counterparty Risk Analyst recruitment
Job Purpose:
To quantify, communicate and explain derivatives' counterparty exposure to help the decision-making processes of risk management the businesses. The role will also be involved in developing analytical models/tools needed for derivatives' exposure calculation. Where applicable, will also participate in Credit system related projects.
Job Background/context:
Counterparty Risk Analytics is part of Global Risk Analytics within ICG Risk Management and provide quantitative analytical support to Citigroup product businesses, relationship managers and independent risk management
Citigroup's Risk Management framework recognizes the wide range and diversity of global business activities by balancing strong corporate oversight with defined independent risk management functions at the business level.
Key Responsibilities:
- Calculate Counterparty Exposure on derivative products across all markets/asset classes.
- Develop/create models/spreadsheets for exposure calculation.
- Discuss complex structured transactions with business (structurers/traders) and risk managers.
- Advise on credit risk mitigation and explain counterparty risks to sales, trading credit risk management.
- Participate in further development of Counterparty Analytics tools infrastructure.
- Work on ancillary / adhoc projects to further global systematic calculation of derivatives' counterparty risk risk management process.
Development Value:
- Gain extensive product/structure knowledge of all asset classes.
- Risk management expertise.
- Interaction with all businesses across Citi.
- Global market knowledge
Skills
Knowledge/Experience:
- Experience in a quantitative role in financial/consulting services with good understanding of derivatives' risk/modelling/pricing
- Product knowledge of a wide range of derivative structures of different asset classes (e.g. FI, Eqty, cmdty, FX, Credit)
- Knowledge of market credit risk management techniques/frameworks are desirable.
Skills:
- Knowledge of unix programming languages (e.g. C++, Matlab, Perl etc.) is preferred.
- Good spreadsheet skill is preferred.
Qualifications:
- Masters or PhD in a quantitative discipline
Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.
Competencies:
- Good communication skill is essential as the position requires quantifying risks and explaining them in a quick decision making enviornment.
- Ability to lead discussions on structured products' credit exposure/credit risk confidently with a range of people (from desk quants to credit officers).
- Eagerness ability to grasp the complexity of structured derivatives quickly.
- 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 organizational success.