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Market Risk Data Scientist

https://www.citi.com/ Logo

Citi

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Location:
United Kingdom, London

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Category:
Finance

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Contract Type:
Employment contract

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Salary:

Not provided
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Job Description:

The role is for a Market Risk Data Scientist / Python Developer based in London, to join the G10 Market Risk team in EMEA, as part of the Global Rates business. The G10 EMEA Rates Trading business provides interest rate market-making and solutions to the bank's clients by covering a wide range set of products, including: Bonds, Swaps, Vanilla Options as well as Exotics and Structured Products. The Market Risk Department is in charge of the second line of defence within the firm. The main goal is to oversee/monitor risks at both portfolio and individual trade levels and to challenge the business to ensure effective risk management.

Job Responsibility:

  • Maintain, improve and further widen the scope of the existing Python-based infrastructure for risks, including daily risks monitoring, P&L attribution analysis, ad-hoc stress testing, Historical VAR estimation on selected portfolios
  • Work alongside the team in EMEA on the whole set of daily tasks and deliverables, both internally as well as regulatory driven, when needed
  • Daily limits monitoring, controls and analysis of risks, attestation of risks measures for regulatory purposes, P&L attribution analysis.

Requirements:

  • Advanced level of Python proficiency to translate business requirements into best in class solutions for risk monitoring, P&L explanation, market and risks data analysis, stress testing etc., and a strong appetite to widen both markets and products knowledge and expertise
  • Knowledge of databases and SQL language
  • Hands-on attitude where attention to detail and smart project planning is important to produce an insightful, high-quality output within a given time-frame
  • Team‐work mindset to interact and collaborate on daily basis with senior Market Risk colleagues within the Department on short term deliverables, while being able to work with a good degree of independence on the Market Risk Python-based platform
  • Basic knowledge of interest rate products (Bonds, Swaps, non-linear derivatives)
  • Previous exposure to Market Risk concepts and techniques (e.g., Scenario Stress Testing, VaR, FRTB etc.) is beneficial but not necessary
  • Communicate/ interact with other teams both within Market Risk as well as outside (e.g. Trading, First Line of Defence, IT Dept, Quantitative Research, Risk Control)
  • Excellent written and verbal communication skills
  • Quantitative skills including applied mathematics and statistics would be a plus.

Nice to have:

  • Previous exposure to Market Risk concepts and techniques (e.g., Scenario Stress Testing, VaR, FRTB etc.)
  • Quantitative skills including applied mathematics and statistics.
What we offer:
  • Generous holiday allowance starting at 27 days plus bank holidays
  • increasing with tenure
  • A discretionary annual performance-related bonus
  • Private medical insurance packages to suit your personal circumstances
  • Employee Assistance Program
  • Pension Plan
  • Paid Parental Leave
  • Special discounts for employees, family, and friends
  • Access to an array of learning and development resources.

Additional Information:

Job Posted:
May 01, 2025

Employment Type:
Fulltime
Work Type:
On-site work
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