Citigroup Quantitative Risk Analyst, VP in Warsaw, Poland
Credit Exposure Factor (CEF) is a critical element of the live-trade analysis Risk Analytics team provides to sales/business and credit risk management to determine the level of initial margin and to understand the impact on credit exposure. CEF is a quantitative measure and can be estimated from various methodologies and quantitative approaches. Currently, CEF is issued by the Counterparty Risk Valuation and Advisory (CRVA) team.
We are building up a new team, Counterparty Risk Exposure Validation (CREV), to heighten the standards of CEF calculations and controls. Major responsibility of the new team will include: 1) quantitatively challenging and validating CEFs issued by CRVA; 2) monitoring CEF process in credit risk systems; 3) demonstrating to regulators and internal control functions on the effectiveness of CEF quality control.
A key member of the five-employee team focusing on quantitative analysis of counterparty risk exposure
Playing the “checker” role for the “maker” (the CRVA team): challenging the choices of CEF methodologies, checking the introduced assumptions, and verifying the calculation flows.
Assisting team lead to develop, implement, and maintain the standards and procedures for exposure calculation, validation, and monitoring. All validation and monitoring results should be clearly documented and communicated to relevant stakeholders
Providing suggestions to the relevant model development teams (including Basel teams, CRVA, etc.) on counterparty exposure methodology enhancements and system flow improvement.
Assisting team lead to train and educate junior team members
Advanced degree (Ph.D. preferred) in a quantitative field (e.g. Math, Physics, Statistics, Finance, or Engineering) with at least 5 years of working experience in a quantitative role.
Passionate interest in finance with strong analytical, research, and organizational skills; experiences with risk management systems is a plus
Self-motivated and capable of independently driving results while effectively prioritizing responsibilities and multi-tasking
Resourcefulness with ability to gather, synthesize, and present findings from disparate sources
Strong general-purpose programming skills. Python working experience is a plus. Expert knowledge of Microsoft Access, Excel, and PowerPoint is required
Good communication and interpersonal skills to facilitate collaboration with colleagues at all levels across Citi
Opportunity to work in an international, multi-cultural environment
Cooperation with a high quality team in a challenging area of the financial industry with one of the world's leading companies
Access to the latest technologies and tools
Opportunity to learn through participation in various projects and cross training
Attractive conditions of employment and benefits
High exposure coming from direct cooperation with senior management
Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - PL
Time Type :Full time
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