Quantitative Risk Analyst

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We are seeking a highly motivated Quantitative Risk Analyst to join our Dublin office and support North America (NAM) trading desks within the Data, Analytics, Reporting and Technology (DART) team. This opportunity allows you to work at the center of global markets, collaborating with US teams while based in Ireland.

The DART Counterparty Credit Risk (CCR) Exposure Analytics team provides quantitative and analytical support to Citi's product businesses, relationship managers, and independent risk management functions. This role is vital for maintaining the integrity of Citi's risk management framework across the organization.

The position sits within the DART group and focuses on rigorous quantification, clear communication, and insightful explanation of derivatives' counterparty exposure. It offers the chance to influence Citi's global risk management framework and collaborate with a diverse set of business activities.

• Counterparty Credit Risk (CCR) Exposure Calculation: support internal risk management by performing CCR exposure calculations on structured and exotic derivative products across market and asset classes, ensuring accuracy and timeliness.
• Analytical Model Development: develop ad-hoc models in Python for new products and structures, incorporating fundamental economic principles and derivative pricing models.
• Model Documentation: create comprehensive model documentation to support future model validation efforts.
• Model Validation and Improvement: contribute to validation of existing models, identify areas for improvement, and ensure alignment with market dynamics.
• Project Management: manage CCR-related analytical tool projects, including testing, documenting requirements, and follow-up.
• Production Issue Resolution: conduct investigations for production issues raised by risk managers and assist in remediation with relevant teams.
• Model Implementation and Documentation: lead creation of model documentation and coordinate testing and implementation of CCR models where applicable.
• Advisory Role: build and maintain relationships between front office, internal risk management, and capital teams; advise on risk and capital-related projects and issues.
• Collaboration and Communication: communicate complex risk concepts to stakeholders; participate in projects, assist with testing new functions, monitor progress, and provide reports.

• This position requires working in alignment with New York market hours.
• Support to transition into this schedule and collaborate in real time with NAM trading desks.

• Gain extensive product and structure knowledge across asset classes.
• Develop an understanding of regulatory requirements and their impact on risk management.
• Enhance risk management expertise through hands-on experience and exposure to risk management techniques.
• Engage with diverse Citi business units and gain insights into the organization's operations.
• Expand global market knowledge through involvement in international projects.
• Deepen expertise in economic principles and derivative pricing models.

• 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 derivative structures across asset classes (e.g., Fixed Income, Equity, Commodities, FX, Credit).
• Knowledge of market and credit risk management techniques is desirable.
• Solid foundation in fundamental economics and its application to financial markets.
• Experience with derivative pricing models and their limitations.
• Proficiency in Python and C++.
• Relational database skills (e.g., Oracle, Sybase) and excellent spreadsheet skills.
• Strong analytical and problem-solving abilities, with excellent communication and interpersonal skills.
• Ability to apply economic principles to risk management and model development.
• Master's or Ph.D. in Mathematics, Statistics, Economics, Physics, Engineering, or a related field.

• Self-driven with a strong work ethic and the ability to work independently.
• Excellent communication skills for quantifying risks and explaining them in a fast-paced environment.
• Ability to lead discussions on structured products' credit exposure with cross-functional teams.
• Eagerness to grasp the complexity of structured derivatives.
• Strong understanding of economic principles and their impact on pricing and risk.

• Opportunity to work in an innovative environment with modern technologies and global exposure.
• Professional development in a truly global environment.
• Inclusive and supportive culture with recognition of gender diversity and equality.
• Supportive workplace policies for professionals returning from childcare leave.
• A structured learning path to deepen Citi's product and service knowledge.

We work to have a positive financial and social impact and prioritize our employees' well-being, offering competitive benefits.

By joining Citi Dublin, you will be part of a business-casual workplace with a hybrid model (up to 2 days working from home per week) and a competitive base salary with regular reviews, plus benefits to support you and your family.

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.