Quantitative Risk Manager – Senior Vice President
Citi Brasil
Varsovia, Polonia
5 d. temu

Job Description

The Counterparty Risk Analytics (CRA) team is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures of OTC derivatives, exchanged-traded derivatives, security financing transactions, and margined loans.

The models are used for advanced Basel regulatory capital calculations, CCAR / Internal Capital Adequacy Assessment Process (ICAAP) estimations, and internal risk management measures (PFE / EPE).

Additionally, the team provides live-deal analysis to business and risk management by calculating credit exposure factors at trade and portfolio levels, estimating allowable collateral levels, and determining initial margin requirements.

The team also conducts impact analysis for capital optimization initiatives and new regulatory rules related to counterparty risk, and ensures models and data logics are implemented correctly in credit risk systems.

Responsibilities :

  • Develop, maintain and enhance models for counterparty credit risk especially in reference to construction and calibration of counterparty risk covariance matrices and identification of stress period;
  • Calibrate and maintain simulation models for the purpose of counterparty credit risk;
  • Contribute in the production and UAT releases of covariance matrices;
  • Perform impact analysis of any changes in covariance matrices in reference to internal risk management as well as regulatory measures of counterparty credit risk (EPE, PFE, CVA);
  • Develop and implement methodologies, algorithms and diagnostic tools for testing model robustness, stability, reliability, performance, and quality control of modelling data;
  • Develop, maintain, and enhance technical documentation, including project plans, model descriptions, mathematical derivations, data analyses, process and quality controls;
  • Support various tasks in response to regulatory and internal risk management requirements;
  • Prepare reports and detailed quantitative analysis for presentation to senior management and regulators.
  • Provide training to other members in the team whenever necessary as well as support in daily work.
  • Assist the team lead in managing day to day processes and tasks within the team.
  • Qualifications :

  • Experience : 8+ year experience as a quantitative analyst or risk analyst in the financial industry;
  • Solid programming skills, with experience of statistical / data analysis techniques and numerical implementations and some familiarity of modern software development tools, is required.
  • Knowledge : Excellent mathematical skills, including stochastic calculus, probability and statistics;
  • Passionate interest in finance with strong knowledge on regulatory measures of counterparty credit risk and regulatory models;
  • Comfortable interfacing with business clients. Proficiency handling very large data sets;
  • Proficient in Microsoft Office with an emphasis on MS Excel;
  • Consistently demonstrates clear and concise written and verbal communication skills;
  • Self-motivated and detail oriented;
  • Demonstrated project management and organizational skills and capability to handle multiple projects at one time;
  • Education :

    Master or higher degree is strongly preferred, with an excellent academic record in a quantitative field (e.g. mathematics, physics, statistics, finance, etc.)

    What we offer :

  • Work in a challenging area of the financial industry with one of the world's leading companies with exposure to variety of products, processes and controls
  • Cooperation with a high quality, international, multicultural and global team
  • Work in a friendly and diversified environment, appreciating differences in style and perspective and using them to add value to decisions leading to organizational success
  • Management supporting balanced and agile work (flexible working hours, home office)
  • Attractive benefits package (Benefit System, medical care, pension plan etc.)
  • A chance to make a difference with various affinity networks and charity initiatives
  • Job Family Group : Risk Management

    Job Family :

    Risk Analytics, Modeling, and Validation

    Time Type :

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