Lead Derivative Modeller

The role of Quantitative Lead Analyst is pivotal in maintaining the integrity of Citi's risk management framework, ensuring that risk is appropriately assessed and managed across the organisation.

This opportunity offers direct influence on Citi's global risk management framework, encompassing engagement with diverse business activities while contributing to the strategic balance between robust corporate oversight and independent risk management practices at the business unit level.

• Counterparty Credit Risk (CCR) Exposure Calculation: Provide active support to the internal risk management process by performing CCR exposure calculations for structured and exotic derivative products across all market and asset classes, ensuring precision and timeliness.

• Analytical Model Development: Develop bespoke models utilizing Python libraries for novel products and structures, integrating fundamental economic principles and sophisticated derivative pricing models. Ensure the creation of comprehensive model documentation to facilitate future model validation efforts.

• Model Validation and Improvement: Contribute significantly to the validation of existing models, identifying opportunities for enhancement and ensuring alignment with prevailing market dynamics and economic conditions.

• Project Management: Oversee CCR-related analytical tool projects, including conducting exhaustive testing, documenting precise requirements, and ensuring diligent project execution and follow-up.

• Production Issue Resolution: Conduct in-depth systemic investigations for production issues escalated by risk managers. Provide assistance in the diagnosis and remediation of these issues, fostering collaboration with relevant teams to streamline and enhance the resolution process.

• Model Implementation and Documentation: Where applicable, lead the development of model documentation and coordinate with pertinent teams to effectively test and implement CCR models.

• Advisory Role: Cultivate and sustain robust relationships between front office businesses, internal risk management, and capital teams. Proactively provide strategic advice on risk and capital-related projects and issues, thereby enabling superior risk and capital decision-making across the organisation.

• Collaboration and Communication: Articulate complex risk concepts effectively to a broad spectrum of stakeholders. Participate in relevant projects, assisting project managers with the testing of new functionalities, monitoring progress, and delivering timely reports. Offer an advisory capacity to risk management, business units, and Basel capital teams regarding credit exposure and capital-related projects, solutions, and issues.

Key Responsibilities:

• Acquire extensive product and structural knowledge across all asset classes.

• Develop a profound understanding of industry regulatory requirements and their impact on risk management practices.

• Enhance risk management expertise through practical experience and exposure to a variety of risk management techniques.

• Cultivate interaction with diverse business units across Citi, gaining invaluable insights into the organisation's multifaceted operations.

• Expand global market knowledge through active involvement in international projects and initiatives.

• Deepen expertise in economic principles and advanced derivative pricing models.

Requirements

• Relevant years of experience in a quantitative role within financial or consulting services.

Domain Expertise

• Comprehensive understanding of derivatives' risk, modeling, and pricing.

• Strong product knowledge across a wide range of derivative structures within various asset classes (e.g., Fixed Income, Equity, Commodities, FX, Credit).

• Demonstrated knowledge of market and credit risk management techniques and frameworks is highly desirable.

• Solid foundational understanding of fundamental economics and its practical application to financial markets.

• Proven experience with derivative pricing models and an awareness of their inherent limitations.

Technical Proficiency

• Proficiency in programming languages such as Python and C++.

• Basic database skills and familiarity with relational databases (e.g., Oracle, Sybase).

• Exceptional spreadsheet capabilities.

Skills and Qualifications

• Strong analytical and sophisticated problem-solving abilities.

• Excellent written and verbal communication, and interpersonal skills.

• A demonstrated ability to apply economic principles effectively to risk management and model development challenges.

Benefits

• A chance to develop in a highly innovative environment where you can use the newest technologies in a top-quality organisational culture.

• 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.

Other Opportunities

• We work hard to have a positive financial and social impact on the communities we serve. In turn, we put our employees first and provide the best-in-class benefits they need to be well, live well and save well.

• By joining us, you will not only be part of a business casual workplace with a hybrid working model, but also receive a competitive base salary and enjoy a whole host of additional benefits that support you and your family.