Quantitative Risk Analyst, Assistant Vice President

Citi, a leading global bank, has approximately 200 million customer accounts and a presence in more than 160 countries and jurisdictions worldwide. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Citi enables clients to achieve their strategic financial objectives by providing them with cutting-edge ideas, best-in-class products and solutions, and unparalleled access to capital and liquidity.

Citibank Europe plc (CEP) is the main EU banking entity for Citi in EMEA. It has a presence in 22 countries in Europe, covering several key business lines including Markets & Securities Services, Treasury & Trade Services, Corporate & Investment Banking, and Consumer, with Revenue of approx. $4bn and total assets of $150 billion. Given the size and importance of CEP in the European Banking arena, CEP is considered a “Significant Institution” by the European Central Bank and is directly supervised by the Single Supervisory Mechanism in Frankfurt.

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in quantitative risk analytics to the Dublin Model Governance team.

Team/Role Overview

This is a key role within the Risk Analytics function of Citibank Europe plc (CEP), a European Union bank headquartered in Dublin, Ireland. The function is responsible for all aspects of Pillar 1 internal models for Market Risk (IMA), Counterparty Credit Risk (IMM) and Advanced Company Voluntary Arrangement (CVA) capital requirements.

What you’ll do

The Quantitative Risk Analyst works in the Model Governance team which is responsible for the oversight, performance management and regulatory interaction in relation to all aspects of Pillar 1 internal models in CEP.

• Engage with a wide range of Risk, Finance, Business, Technology and Audit stakeholders regarding the implementation of regulatory and risk requirements pertaining to internal Pillar I models for Counterparty Credit and Market Risk.
• Scope, manage, coordinate and collate material requested by regulators for regulatory exams and reviews.
• Support the coordination and organisation of regular reporting related to internal models through multifunctional co-ordination and interaction with stakeholders.
• Organise, manage and coordinate the notification of IMM (Internal Model Methods) and IMA (Internal Models Approach) model changes and extensions to the regulator by communicating with internal stakeholders to obtain necessary documentation and impact analyses to support model changes.
• Support the implementation of relevant European Central Bank (ECB) and Central Bank of Ireland requirements as they pertain to internal risk models by reflecting these in relevant internal procedures and policies.
• Arrange, co-ordinate and assist with the running of governance including the documentation of actions and minutes and subsequent issue management and resolution.

What we’ll need from you

• Experience in banking or consultancy or advisory firm, working in risk management, capital planning, model development/validation or related functions.
• Excellent academic background, with advanced degree in finance, mathematics or related quantitative discipline and/or relevant professional qualification (e.g. FRM, PRMIA).
• Experience and knowledge of Market Risk and/or Counterparty Credit Risk, particularly of relevant markets, products, risk measurement and reporting.
• Experience and knowledge of variety of standard modelling approaches such as Value-at-Risk (VaR), Stressed VaR, Incremental Risk Charge (IRC), Expected Positive Exposure etc.
• Up-to-date working knowledge of Basel and European Union regulatory requirements and guidelines as specified in Capital Requirements Regulation (CRR), ECB Guide to Internal Models etc.
• Experience of Model Risk and Governance processes including model performance reviews, model development lifecycle, validation etc.

What we can offer you

By joining Citi Dublin, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed) and enjoy a whole host of additional benefits that support you (and your family) to be well, live well and save well. Discover more here.

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day.  We want the best talent around