Counterparty Risk Portfolio Analytics and Models specialist – SVP

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Job Overview

Counterparty Credit Risk Portfolio Analytics and Models specialist

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your quantitative skills along with your and financial risk management experience to Citi’s Institutional Credit Management team.

By Joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Institutional Credit Management (ICM) works closely with our front line businesses in Markets, Banking & International and Wealth Management to serve as a critical component of our First Line of defense for wholesale and counterparty credit risk management and also with our Independent Risk partners to ensure best-in-class risk and controls, as well as client responsiveness.

Team/Role Overview

The role sits in the ICM Portfolio Management and Analytics function. Key responsibilities of the team include portfolio analysis and stress testing execution, risk identification, pre-trade advisory and intraday risk management support, overseeing the development and maintenance of counterparty exposure (PFE & stress revaluations) and portfolio loss models, and provide support to Underwriting and Portfolio Management functions.

The Counterparty Credit Risk Portfolio Analytics and Models specialist is a senior-level position responsible for leading projects including the development and maintenance of analytics used for portfolio management and enhance capabilities for CCR exposures monitoring in coordination with the business units and risk management teams.

What you’ll do

The Counterparty Credit Risk Portfolio Analytics and Models specialist will establish and manage scalable end-to-end processes for the core production pillar. Specifically, this would include:

• Lead the optimization of the key counterparty risk, concentration and liquidity metrics used to monitor the risk appetite and risk capacity of the business against limits

• Accuracy and completeness of Credit Data: ensure that data captured in our counterparty credit infrastructure are in line with the approvals and conform to best-in-class standards

• On-going monitoring and portfolio risk drivers’ identification processes: deliver timely, high-quality analysis of existing portfolio exposures including pockets of client trades and or/collateral concentrations

• Support the integration of risk management processes of other In-Business Risk functions into the ICM operating model

• Escalations: ensure timely tracking and escalations around exposure and losses monitoring

• Partner with the CCR Models’ Sponsors and relevant Risk teams for the aspect of the Model Risk Governance related to changes, processes and procedures

• Establish relationships with a network of key stakeholders, partnering with senior colleagues in the Business as well as with risk management, technology, reporting and operations teams to drive implementation of strategic initiatives.

• Provide leadership and guidance for junior members of the team.

What we’ll need from you

• 10+ years of experience in counterparty risk, market risk and/or credit portfolio modelling role in banking/financial services

• Strong knowledge of securities financing transactions and derivative products

• Strong quantitative skills, particularly with respect to counterparty credit risk exposure measurements and product valuations

• Organisational skills and the ability to multi-task effectively in a high-volume and complex environment with changing priorities, with a practical solutions-driven approach

• Excellent analytical thinking, practical problem-solving abilities, and partnership skills

• Good working knowledge of R, Python and/or SQL

• Willing to learn and can-do attitude

What we can offer you

This is a role that'll offer you the opportunity to build an in-depth knowledge of financial services operations. Every day there will be new business challenges that will help you develop new skills that can drive your career.

By joining Citi Solutions Center Poland, you will not only be part of a business casual workplace with a hybrid working model (currently up to 2 days working at home per week), but also (potentially, subject to final offer) receive a competitive base salary and enjoy a whole host of additional benefits which can include:

• Employer paid Defined Contribution Pension Plan contribution of 6% of employee’s pensionable earnings (PPE Program)

• Employer paid Private Medical Care Package for employees and Private Medical Care Packages for certain family members available at preferential rates

• Employer paid Life Insurance Program for employees and Life Insurance for certain family members available at preferential rates

• Employee Assistance Program financed by Employer

• Paid Parental Leave Program (maternity and paternity leave; statutory and 2 weeks additional paid paternity leave)

• Sport Card for employees subsidised via Social Benefits Fund and Sport Cards for certain family members available at preferential rates

• Additional benefits from Company’s Social Benefit Fund, in particular: Holidays Allowance, support for sport and cultural activities, team building events.

• Additional day off for volunteering

• Cafeteria/ flex benefit – a company benefits system which enables employees to select and purchase benefits offered by a provider and available for employees on the platform.

• Opportunity to receive an annual discretionary incentive award

• Special offers and discounts for employees

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 the world to be energized to join us, motivated to stay, and empowered to thrive. 

Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities.

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.