Senior Quantitative Analyst - Risk Capital Model Development

• Design, develop, enhance, maintain Risk Capital models: wholesale credit, counterparty credit, market, concentration risk.
• Participate in model lifecycle: methodology, development, implementation, performance monitoring, enhancement.
• Apply advanced quantitative methodologies: Monte Carlo simulation, correlation/dependency modelling, loss/recovery modelling, capital allocation, stress loss estimation.
• Develop and implement models to measure and monitor default risk, loss severity, concentration risk, tail risk, and diversification effects across portfolios, legal entities, sectors, and regions.
• Perform model testing: benchmarking, back-testing, sensitivity analysis, performance monitoring for robustness, stability, regulatory compliance.
• Prepare high-quality model documentation per Citi Model Risk Management policies and governance standards.
• Interact with Independent Model Validation, Internal Audit, and regulators; support model reviews, regulatory exams, and remediation activities.
• Coordinate with Risk Technology and production teams to ensure accurate, timely, well-controlled implementation of Risk Capital models into production systems.
• Provide analysis on complex issues, structure solutions, and drive resolution across Risk, Technology, Finance, and Business stakeholders.

Key requirements:

• Typically 5+ years of experience in quantitative risk modelling, analytics, or finance within a large financial institution or equivalent environment.
• Strong hands-on IT skills (for example: Python, C/C++, and other quantitative analytics software).
• Advanced understanding and hands-on experience with quantitative methods including statistical modelling, stochastic processes, numerical methods, and large‑scale simulation frameworks.
• Proven ability to communicate complex quantitative concepts clearly to non-quantitative stakeholders.
• Master’s or PhD in Mathematics, Statistics, Finance, Physics, Engineering, or a related quantitative discipline strongly preferred.

Nice to have:

• Strong knowledge of Risk Capital frameworks, including credit, counterparty, market, and concentration risk, and related regulatory capital expectations.