Quantitative Risk Analyst
Responsibilities:
- Calculate Counterparty Exposure on derivative products across all markets/asset classes.
- Actively participate in further development of Counterparty Analytics tools infrastructure.
- Develop/create models/spreadsheets for exposure calculation.
- Advices on credit risk mitigation and explain counterparty risks to sales, trading credit risk management.
- Work on ancillary /adhoc projects to further global systematic calculation of derivatives' counterparty risk risk management process.
Requirements:
- Masters in a math finance/ Masters in quantitative discipline with Derivatives math knowledge experience. Working experience in a quantitative role in financial/consulting services with good understanding of derivatives' modelling/pricing, is a plus.
- Some Knowledge of unix programming languages (e.g. C++ Perl etc.).
- No direct experience of counterparty risk calculations needed, but some knowledge of market risk management techniques are desirable.
- Knowledge of a wide range of derivative products (FI, Equity, commodity, FX, Credit) would be ideal but not a pre-requisite.
- Good communication skill is essential as the position requires quatifying risks and explaining them in a quick decision making enviornment.
- Eagerness ability to grasp the complexity of structured derivatives quickly.
At Citi, we groom the leaders of today and tomorrow. Take the opportunity to embark on a challenging, fulfilling and rewarding career with one of the world's most respected financial institutions now.
To apply, please visit http://careers.citigroup.com and search for Job ID 13029623.
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