Citi Counterparty Risk Analytics - Quantitative Analyst in Tampa, Florida
Primary Location: United States,Florida,Tampa
Education: Master's Degree
Job Function: Risk Management
Shift: Day Job
Employee Status: Regular
Travel Time: No
Job ID: 18059353
Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. 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. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.
Citi’s Mission and Value Proposition at http://www.citigroup.com/citi/about/mission-and-value-proposition.html explains what we do and Citi Leadership Standards at http://www.citigroup.com/citi/about/leadership-standards.html explain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients’ and the public’s trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.
Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.
• The Counterparty Risk Analytics team is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures of OTC derivatives (cleared and non-cleared), Exchanged-Traded derivatives, Security Financing Transactions, and Margined Loans. The models are used for advanced Basel regulatory capital calculations, CCAR/ICCAP estimates, and internal risk management measures (PSE/PSLE).
• Besides model use supports, the team also provides live-deal analysis to business and risk management by calculating credit exposure factors (CEF) at trade and portfolio levels, estimating allowable collateral levels, and determining initial margin requirements. They also conduct impact analysis for capital optimization initiatives and new regulatory rules related to counterparty risk. They support to ensure that models and data logics are implemented correctly in credit risk systems.
Key responsibilities include:
• Enhance Linux/C++ based counterparty credit exposure simulation and pricing models for OTC derivatives, covering all major asset types (EQ, IR/FX, Credit, Commodity)
• Perform rigorous model testing for all production models, including back testing, stress testing, and other testing involved in the model development process
• Analyze and provide comprehensive explanation of testing results to model reviewers including model validation, risk managers, and senior management
• Perform statistical analysis on large volume of financial data, such as historical data analysis and simulation model parameter calibration
• Support trading book credit risk management; Calculate portfolio level counterparty exposure such as EPE, EAD, CVA, used for both internal risk management, regulatory capital calculation, and stress testing
• Graduate degree from a quantitative field.
• Solid programming skills. Ideally from an object oriented language such as C++ and scripting language such as Python or Perl
• Basic knowledge of financial products and derivatives modeling
• Great communications skills in both verbal and written
Citi is an equal opportunity and affirmative action employer. Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.