Quantitative Risk Analyst, Citi

Citi

Location:
Ireland, Dublin

Category:
Finance

Contract Type:
Not provided

Salary:

Not provided

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Job Description:

This person will be responsible for critical deliverables involving complex market risk models related to the bank's “Fundamental Review of the Trading Book” (FRTB) implementation. Currently, Citi is focusing on the end-to-end implementation of the FRTB Standardised Approach (FRTB-SA). Therefore, for someone with the right competency, keen interest, high degree of motivation and energy, the role offers an excellent opportunity to be at the centre of market risk model methodology developments. This role creates a broad set of opportunities for interaction with a wide range of internal functions as well as senior management within the bank.

Job Responsibility:

Develop methodology for quantitative analysis required on various work streams for FRTB-SA implementation within the bank
Provide robust, controlled, reusable, and scalable analytics capabilities for the rapid variations of FRTB-SA rules applied in the various regulatory jurisdictions in which Citi operates
Produce high quality documentation for the FRTB-SA process, interact with the model validation team
Work with existing market risk models as required, and provide solutions where weaknesses are identified in testing, or where new business needs require model enhancements
Interact confidently with other risk management teams, the front office, technology and control groups in order to implement improvements to the market risk models and to support any related production processes
Prepare reports and detailed quantitative analysis for presentation to senior management and regulators

Requirements:

Experience in one or more of the following is an advantage: derivatives pricing, exotic products, risk management practices, regulation, numerical computation, statistics, FRTB: BCBS, CRR2, CRR3, etc. regulations
Ability to interpret and translate regulations into technical specification to serve as foundation for the implementation, testing, validation, and compliance
Strong hands-on IT skills, for example, with Python, R, VBA, C/C++, SQL, Unix
Keen interest in banking and finance, especially in the field of Quantitative Risk Modelling
Excellent oral and written communication skills
Educated to postgraduate level, with an excellent academic record in a quantitative field (e.g. mathematics, physics, statistics, data science and engineering)
PhD or equivalent degree / MSc level qualification is strongly preferred

What we offer:

Professional development in a truly global environment
Inclusive and friendly corporate culture where gender diversity and equality is widely recognized
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
A business casual workplace with a hybrid working model (up to 2 days working at home per week)
Competitive base salary (which is annually reviewed)
Additional benefits that support you (and your family) to be well, live well and save well

Additional Information:

Job Posted:
May 14, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Quantitative Risk Analyst