Quantitative Risk Analyst

Overview

Are you looking for a career move at a global financial institution?

We seek a highly motivated Quantitative Risk Analyst in our Dublin office to support North America trading desks within the Data, Analytics, Reporting and Technology (DART) team.

This role enables collaboration with US teams while based in Ireland.

By joining Citi, you become part of a global organization whose mission is to responsibly provide financial services that enable growth and economic progress.

Team / Role Overview

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 crucial for maintaining the integrity of Citi's risk management framework and ensuring risk is appropriately assessed and managed across the organization.

The position emphasizes technology and data-driven solutions in modern risk management and requires a deep understanding of fundamental economics and derivative pricing for model accuracy.

The Quantitative Risk Analyst role, within the DART group, is responsible for quantifying, communicating, and explaining derivatives counterparty exposure and for contributing to Citi's risk management framework across diverse business activities.

This role offers the opportunity to influence risk management practices at a global level while balancing robust corporate oversight with independent risk management at the business level.

What you'll do

Counterparty Credit Risk (CCR) Exposure Calculation :

Support internal risk management by calculating CCR exposure on structured and exotic derivatives across all market and asset classes, ensuring accuracy and timeliness.

Analytical Model Development :

Develop ad-hoc models in Python for new products and structures, incorporating fundamental economics and derivative pricing concepts.

Create comprehensive model documentation to support model validation efforts.

Model Validation and Improvement :

Contribute to validating existing models and identify improvements aligned with market dynamics and economic conditions.

Project Management :

Manage CCR-related analytical tool projects, including testing, documenting requirements, and ensuring follow-up.

Conduct in-depth production issue investigations raised by risk managers and assist in remediation with relevant teams.

Model Implementation and Documentation :

Lead the creation of model documentation and coordinate testing and implementation with relevant teams.

Advisory Role :

Build and maintain relationships with front office, internal risk management, and capital teams; advise on risk and capital projects and issues.

Collaboration and Communication :

Explain complex risk concepts to stakeholders; participate in projects, assist with testing, monitor progress, and provide timely reports.

Market Coverage

This role requires alignment with New York market hours.

Support to transition into this schedule and collaborate in real time with NAM trading desks.

Development Value

Gain extensive product and structure knowledge across asset classes.

Understand industry regulatory requirements and their impact on risk management.

Enhance risk management expertise through hands-on experience and varied techniques.

Interact with diverse Citi business units to 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.

What we'll need from you

Relevant 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 (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++.

Basic database skills (e.g., Oracle, Sybase or other relational databases).

Excellent spreadsheet skills and strong analytical and problem-solving abilities.

Excellent communication and interpersonal skills.

Ability to apply economic principles to risk management and model development.

Master's or Ph.D. in a quantitative discipline (Mathematics, Statistics, Economics, Physics, Engineering, or related field).

Competencies

Self-driven with a strong work ethic and the ability to work independently.

Excellent communication skills for quantifying risks in a fast, decision-oriented environment.

Ability to lead discussions on structured products' credit exposure with a range of stakeholders.

Eagerness and ability to grasp the complexity of structured derivatives quickly.

Strong understanding of economic principles and their impact on pricing and risk.

What we can offer you

Opportunity to develop in an innovative environment using the latest technologies.

Professional development in a global environment.

Inclusive and friendly culture with a focus on gender diversity and equality.

Support for professionals returning to the office after childcare leave.

Challenging learning path to deepen knowledge of Citi's products and services.

We work to have a positive financial and social impact on communities and provide benefits to help employees live well and save well.

By joining Citi Dublin, you will be part of a business-casual, hybrid workplace (up to 2 days at home per week) with a competitive base salary and additional benefits.

This description is not a contract and Citi reserves the right to change the role or requirements at any time.

We are committed to an inclusive environment and encourage applications from all qualified individuals regardless of race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or veteran status.

For accessibility resources, please contact our team.

Citi is an equal opportunity employer.

View our EEO policy and Know Your Rights poster as applicable.

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