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The Global Market Risk Reporting group is part of the wider Data, Analytics, Reporting and technology (DART) and is responsible for the analysis and reporting of Citi’s Market Risk exposures across the first line Markets business and second line Market Risk functions.
Job Responsibility
Lead and execute content generation and quantitative analysis on market risk, leveraging over 10 years of industry experience
Help Market Risk reporting meet its target operating model obligations by assisting in the reduction of content through simplification and automation, while building out analytical capabilities within the team
Participate in a multiyear book of work to modernize the core Market Risk platform
Collaborate with stakeholders across technology, business, and control functions to translate complex risk requirements into practical, implementable solutions
Apply advanced data science, machine learning, and artificial intelligence techniques to develop prediction capabilities and provide analytical insights into markets portfolios
Utilize expertise in programming languages, particularly Python, and various data science APIs to build, test, and deploy quantitative risk solutions
Design, develop, and maintain data models and schemas to support comprehensive risk data aggregation, analysis, and reporting
Leverage cloud technology platforms for scalable risk analytics and data processing
Serve as a Product Owner for risk management initiatives, defining roadmaps, prioritizing features, and ensuring alignment with business objectives and regulatory requirements
Collaborate with colleagues to help identify performance improvement and automation opportunities to remove manual processes
Support individual colleagues in the team to ensure that they are provided with the opportunities to develop their skill set that aligns with their career target
Significant emphasis on the application of the controls and governance framework. This will include the monitoring of KPI' for data quality, accuracy, timeliness and adherence to the reporting MCA requirements
Effectively communicate complex quantitative concepts, risk insights, and technical solutions to diverse audiences, including junior analysts, senior management, and cross-functional teams
Requirements
10+ years in Market Risk, Risk Reporting or a related financial risk discipline
Deep knowledge of traded products across equities, rates, credit, FX and commodities, and associated price risk concepts — sensitivities, VaR, stress testing, P&L attribution
Solid working knowledge of Basel 2.5 and FRTB, and the supervisory expectations of major European and/or American regulators
Proficiency in Python
proven ability to design and implement relational data models and physical table structures
Working knowledge of major cloud platforms (AWS, Azure, GCP) and core data services — data lakes, managed warehouses, serverless compute and orchestration
Foundational to working knowledge of ML techniques — supervised/unsupervised learning, time series, anomaly detection — and their application in a risk context
Awareness of the GenAI landscape including LLMs, prompt engineering and RAG, and emerging use cases in financial services
Degree-educated in a technology, quantitative, finance or related discipline
Nice to have
Hands-on ML/AI experience applied to financial risk data — outlier detection, P&L pattern recognition, NLP-driven commentary generation
Practical experience with LLM APIs (Gemini, Anthropic etc) or orchestration frameworks (LangChain, LlamaIndex)
Knowledge of model risk governance in a banking context
Experience with cloud data tools — Databricks, Snowflake, Azure Synapse, BigQuery or similar
Project management experience — Agile, Waterfall or hybrid
Experience delivering target operating model or large-scale technology or reporting transformation programs
What we offer
Employer paid Defined Contribution Pension Plan contribution of 6% of employee’s pensionable earnings (PPE Program)
Employer paid Private Medical Care Package for employees and Private Medical Care Packages for certain family members available at preferential rates
Employer paid Life Insurance Program for employees and Life Insurance for certain family members available at preferential rates
Employee Assistance Program financed by Employer Paid Parental Leave Program (maternity and paternity leave
statutory and 2 weeks additional paid paternity leave
Sport Card for employees subsidised via Social Benefits Fund and Sport Cards for certain family members available at preferential rates
Additional benefits from Company's Social Benefit Fund, in particular: Holidays Allowance, support for sport and cultural activities, team building events
Additional day off for volunteering
Cafeteria/ flex benefit – a company benefits system which enables employees to select and purchase benefits offered by a provider and available for employees on the platform
Opportunity to receive an annual discretionary incentive award