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Citigroup Cross Asset Derivatives Risk Analyst in Warsaw, Poland

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.

Team Overview

We’re expanding capabilities of our Counterparty Risk Exposure Validation (CREV) team, to strengthen the standards of Credit Exposure Factor (CEF) calculations and controls. CEF is a quantitative measure and a critical element of a live-trade analysis that Risk Analytics team provide to Trading, Structuring, Sales and Credit Risk Managers to determine the level of initial margin and to understand the impact on counterparty credit exposure at a single trade level. CREV team challenges and validates CEFs and monitors CEF issuance process.

Key Role Responsibilities:

  • Providing risk analysis of vanilla and exotic OTC derivative investment and hedging products linked to wide range of asset classes (Equities, FX, Commodities, Rates, Credit, Cross Asset), traded by Citi globally.

  • Challenging the choices of CEF methodologies and tools, checking the underlying assumptions, verifying the CEF calculation flow and communicating findings to teams located across the globe (i.e. London, NYC, Shanghai)

  • Review an impact of calibration of CCR covariance matrix as well as model parameters.

  • Assisting the team lead to develop, implement, and maintain standards and procedures for exposure calculation, validation, and monitoring by clearly documenting and communicating the results to management and other stakeholders.

  • Implementing automation solutions to streamline day-to-day tasks and ensure robustness of existing and new processes.

  • Providing suggestions to the relevant model development teams on counterparty exposure methodology enhancements and system flow improvements.

  • Assisting the team lead to train and educate junior team member

Qualifications:

  • Experience: 2+ year experience in risk management at a financial institution and understanding of OTC and exchange-traded investment products and hedging strategies

  • Familiarity with derivatives risk concepts and derivatives market conventions. Self-motivated and capable of independently driving results while effectively prioritizing responsibilities.

  • Good organizational, communication and interpersonal skills to facilitate collaboration with colleagues at all levels across Citi.

  • Advanced level knowledge and experience with Excel and PowerPoint. Experience with risk management systems and familiarity with any high-level programming language (VBA, Python, R etc.) is a plus.

  • Degree in Quantitative/Mathematical Finance, Economics, or any quantitative discipline (Statistics, Math, Physics, Engineering, etc.)

We offer:

  • Opportunity of professional development and to make an impact in a risk department of a global bank

  • Learning opportunities and challenging assignments in derivatives risk management space in which you can utilize and expand your knowledge of quantitative risk management

  • Competitive social benefits

  • Chance for a career evolution within Citi business structures

The role is based on a fixed-term contract for 12 months.

Job Family Group:

Risk Management

Job Family:

Risk Analytics, Modeling, and Validation

Time Type:

Full time

Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi (https://www.citigroup.com/citi/accessibility/application-accessibility.htm) .

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View the EEO Policy Statement (http://citi.com/citi/diversity/assets/pdf/eeo_aa_policy.pdf) .

View the Pay Transparency Posting (https://www.dol.gov/sites/dolgov/files/ofccp/pdf/pay-transp_%20English_formattedESQA508c.pdf)

Citi is an equal opportunity and affirmative action employer.

Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.

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