We are looking for a Quantitative Risk Analyst at VP level to join the Enterprise Stress Testing team.

Risk Capital is a firm-wide metric to measure economic capital usage at the consolidated Citigroup and CBNA levels as well at the detailed business unit level. It is reported to regulators and the Board as a key capital adequacy metric for Citigroup and its major legal entities (MLE). Risk Capital is also used extensively in various risk areas to set risk limits and to assess the risk-adjusted profitability of large transactions. Risk Appetite Ratio (RAR) and Risk Appetite Surplus (RAS) are firm-wide metrics to measure risk-adjusted earnings power at the consolidated Citigroup and CBNA level as well at the detailed business unit level. Risk Capital and RAR/RAS metrics are both important quantitative measurements that form part of Citi's overall Risk Appetite Framework (RAF). With the regulatory focus on Risk Appetite Framework and Concentration Risk management, Risk Capital based limits and RAR/RAS are expected to become a critical part of Citi’s internal risk management framework.

Key Responsibilities:

• Work with senior quants developing or enhancing Risk Capital/Stress Testing models for counterparty and wholesale credit risk
• Develop model to measure counterparty default loss for derivative/SFT/CCP transactions, assess Wrong Way Risk, concentration risk, develop model for default correlation, securitization exposure, PD/LGD, etc.
• Implement model analytics, model libraries/engine/executables and associated analytical tools, using programming languages such as C++, Python, VBA
• Test model performance, implement testing suites for new and existing models, establish automated testing processes and repeated model documentation processes
• Assist testing efforts and support requirements from Model Risk Management, participate in full model development, validation and ongoing performance monitoring cycles
• Partner with Finance and Risk Infrastructure (FRI) and IT to ensure that Risk Capital enhancements are correctly implemented and integrated in Citi’s Risk and Finance systems

• Masters and above degree in a quantitative discipline such as mathematics, financial engineering, physics, statistics, computer science
• Ideally have risk experience in retail or wholesale
• 5+ years of experience in an analytics/quantitativeprogramming/implementation roles in a financial institution
• Knowledgeable about risk measurement issues in market risk or counterparty/wholesale credit risk.
• Knowledge of risk capital and stress testing concepts and issues a plus.
• Strong communicator, self-starter, and team player.
• Eagerness & ability to grasp complex analytical or mathematical concepts quickly.
• Proficient in C++/C, Python, Excel VBA, Java and/or other programming languages.
• Experience with model implementation and integration with technology systems.
• Ability to navigate through complex data and infrastructure environment a plus.
• Experience with implementing analytical user tools such as what-if calculator in Excel or other UI form a plus.
• Experience with database, cloud computing, client-server computing, distributed computing a plus.
• Exceptional candidates who do not meet all these criteria may be considered for the role provided they have the necessary skills and experience.