Overview

The Counterparty Credit Risk Portfolio Analytics and Models specialist is a senior-level position responsible for leading activities including development and maintenance of analytics for risk management and capabilities for monitoring counterparty risk exposures in the portfolio in coordination with the Risk Management team. The overall objective of this role is to manage Citis portfolio exposure to client and counterparties globally.

Responsibilities

• Lead the optimization of the key counterparty risk and liquidity metrics used to monitor the risk appetite and risk capacity of the business against limits
• Ensure accuracy and completeness of Credit Data: data captured in the counterparty credit infrastructure are in line with the approvals and conform to best-in-class standards
• Provide ongoing monitoring and portfolio risk drivers identification: deliver timely, high-quality analysis of existing portfolio exposures including pockets of client trades and/or collateral concentrations
• Support the integration of the risk management processes for Wealth Management exposures and portfolios into the ICM operating model
• Escalations: ensure timely tracking and escalations around exposure and losses monitoring
• Partner with the CCR Models’ Sponsors and relevant Risk teams for the Model Risk Governance related to changes, processes and procedures
• Establish relationships with a network of key stakeholders, partnering with senior colleagues in the Business as well as with risk management, technology, reporting and operations teams to drive implementation of strategic initiatives

Qualifications

• 10+ years of experience
• Working experience in a quantitative field; Financial/Banking industry preferred
• Strong quantitative skills, particularly with respect to counterparty credit risk measures and calculations
• Deep modeling expertise and experience with analytic techniques and tools
• Excellent analytical thinking, practical problem solving abilities, and partnership skills
• Expertise in R, Python, H2O, and SAS
• Willing to learn and can-do attitude

Education

• Bachelors/University degree, Master’s degree preferred

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

Job Family Group: Risk Management

Job Family: Portfolio Credit Risk Management

Time Type: Full time

Most Relevant Skills: Analytical Thinking, Constructive Debate, Escalation Management, Industry Knowledge, Policy and Procedure, Policy and Regulation, Process Execution, Product Knowledge, Risk Controls and Monitors, Risk Identification and Assessment.

Other Relevant Skills: For complementary skills, please see above and/or contact the recruiter.

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity, please review Accessibility at Citi. View Citi’s EEO Policy Statement and the Know Your Rights poster.