This position presents an excellent opportunity for a market risk analyst with solid programming experience to be at the center of the maintenance and development of models on a global and local scale commercial activities. The role will require interaction with responsible risk, business and governance teams for our client as well as for legal entities in the EMEA region to help them meet more often challenging the expectations of regulators and customers. Exposure to senior management within the bank is guaranteed.
what we offer
- First B2B contract for peroid of 12 months with possibility of extension
- Our team is made up of people from all over the world, so to make our communication smooth, we all speak English on a daily basis.
- We have also take care of your time, therefore we offer you hybrid work.
- Identify and address specific needs of Citi legal entities within EMEA region to meet local regulatory expectations in market risk modelling. This may include incorporation of regulatory feedback into existing modelling framework as well as designing new approaches for VaR, SVaR, RNIV, etc.
- Work with existing market risk models in the context of regulatory, internal control and business expectations. Provide solutions where weaknesses are identified in testing, or where new business needs require model enhancements.
- Participate in model development in Basel 2.5 VaR/RNiV and FRTB space.
- Perform advanced data analytics and build solutions in internal Big Data platform.
- Develop methodology for backfilling missing historical data across various asset classes, including: Rates, Credit, FX.
- Research, support, enhance and maintain market risk models; design and develop in-house software for quantitative analysis.
- Interact confidently with other risk management teams, the front office, technology and control groups in order to implement improvements to the market risk models and to support any related production processes.
- Educated to postgraduate level in a quantitative field (e.g. mathematics, physics, statistics, data science and engineering). PhD or equivalent degree is strongly preferred.
- Several years of experience in one or more of the following fields: quantitative risk modelling, derivatives pricing, exotic products, market risk management practices, risk regulations, numerical computation, statistics or data analysis.
- Strong hands-on IT skills, for example, with Python, R, VBA, C/C++, SQL, Unix.
Employment agency entry number 47
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