Quantitative Risk Analyst, Citi

Citi

Location:
Ireland, Dublin

Category:
Finance

Contract Type:
Not provided

Salary:

Not provided

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Job Description:

Quantitative Risk Analyst position within the Data, Analytics, Reporting and Technology (DART) group, responsible for the rigorous quantification, clear communication, and insightful explanation of derivatives' counterparty exposure. This role supports North America (NAM) trading desks and presents a unique opportunity to directly influence Citi's global risk management framework.

Job Responsibility:

Counterparty Credit Risk (CCR) Exposure Calculation: Actively support the internal risk management process by performing CCR exposure calculations on structured and exotic derivative products across all market and asset classes, ensuring accuracy and timeliness
Analytical Model Development: Develop ad-hoc models in Python libraries for new products and structures, incorporating fundamental economic principles and derivative pricing models
Create comprehensive model documentation to support future model validation efforts
Model Validation and Improvement: Contribute to the validation of existing models, identifying areas for improvement and ensuring alignment with market dynamics and economic conditions
Project Management: Manage CCR-related analytical tool projects, including conducting thorough testing, documenting requirements, and ensuring diligent project follow-up
Production Issue Resolution: Conduct in-depth system investigations for production issues raised by risk managers
Assist in the diagnosis and remediation of these issues, collaborating with relevant teams to facilitate and enhance the resolution process
Model Implementation and Documentation: Where applicable, lead the creation of model documentation and coordinate with relevant teams to test and implement CCR models effectively
Advisory Role: Build and maintain strong relationships between front office businesses, internal risk management, and capital teams
Proactively advise on risk and capital-related projects and issues, facilitating better risk and capital decisions across the organisation
Collaboration and Communication: Effectively communicate complex risk concepts to a wide range of stakeholders
Participate in relevant projects, assisting project managers with testing new functions or features, monitoring progress, and providing timely reports
Provide an advisory role for risk management, business units, and Basel capital teams on credit exposure and capital-related projects, solutions, and issues

Requirements:

Relevant years of experience in a quantitative role within financial or consulting services
Comprehensive understanding of derivatives' risk, modeling, and pricing
Strong product knowledge of a wide range of derivative structures across different asset classes (e.g., Fixed Income, Equity, Commodities, FX, Credit)
Knowledge of market and credit risk management techniques and frameworks is highly desirable
Solid foundation in fundamental economics and its application to financial markets
Experience with derivative pricing models and their limitations
Proficiency in programming languages such as Python and C++
Basic database skills and knowledge in either Oracle, Sybase, or other relational databases
Excellent spreadsheet skills
Strong analytical and problem-solving abilities
Excellent communication and interpersonal skills
Ability to apply economic principles to risk management and model development
Master's or Ph.D. in a quantitative discipline such as Mathematics, Statistics, Economics, Physics, Engineering, or a related field

Nice to have:

Self-driven with a strong work ethic and the ability to work independently
Ability to lead discussions on structured products' credit exposure/credit risk confidently with a range of people, from desk quants to credit officers
Eagerness and ability to quickly grasp the complexity of structured derivatives

What we offer:

Professional development in a truly global environment
Inclusive and friendly corporate culture where gender diversity and equality is widely recognised
A supportive workplace for professionals returning to the office from childcare leave
An enjoyable and challenging learning path, which leads to a deep understanding of Citi's products and services
Competitive base salary (which is annually reviewed)
Hybrid working model (up to 2 days working at home per week)

Additional Information:

Job Posted:
September 12, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Quantitative Risk Analyst