Quantitative Lead Analyst, Citi

Citi

Location:
Ireland, Dublin

Category:
Finance

Contract Type:
Employment contract

Salary:

Not provided

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Job Description:

The Quantitative Lead Analyst position situated within the DART CCR Exposure Analytics team is responsible for supporting Citi’s product businesses and independent risk functions by performing CCR exposure calculations, developing analytical models, improving model validation, and managing projects. The role involves contributing to Citi’s global risk management framework, ensuring accuracy in derivative pricing, and providing analytical expertise to the internal risk management process.

Job Responsibility:

Provide active support to the internal risk management process by performing CCR exposure calculations for structured and exotic derivative products across all market and asset classes, ensuring precision and timeliness
develop bespoke models utilizing Python libraries for novel products and structures, integrating fundamental economic principles and sophisticated derivative pricing models
ensure the creation of comprehensive model documentation to facilitate future model validation efforts
contribute significantly to the validation of existing models, identifying opportunities for enhancement and ensuring alignment with prevailing market dynamics and economic conditions
oversee CCR-related analytical tool projects, including conducting exhaustive testing, documenting precise requirements, and ensuring diligent project execution and follow-up
conduct in-depth systemic investigations for production issues escalated by risk managers
provide assistance in the diagnosis and remediation of these issues, fostering collaboration with relevant teams to streamline and enhance the resolution process
where applicable, lead the development of model documentation and coordinate with pertinent teams to effectively test and implement CCR models
cultivate and sustain robust relationships between front office businesses, internal risk management, and capital teams
proactively provide strategic advice on risk and capital-related projects and issues, thereby enabling superior risk and capital decision-making across the organisation
articulate complex risk concepts effectively to a broad spectrum of stakeholders
participate in relevant projects, assisting project managers with the testing of new functionalities, monitoring progress, and delivering timely reports
offer an advisory capacity to risk management, business units, and Basel capital teams regarding credit exposure and capital-related projects, solutions, and issues

Requirements:

Relevant years of experience in a quantitative role within financial or consulting services
comprehensive understanding of derivatives' risk, modeling, and pricing
strong product knowledge across a wide range of derivative structures within various asset classes (e.g., Fixed Income, Equity, Commodities, FX, Credit)
demonstrated knowledge of market and credit risk management techniques and frameworks is highly desirable
solid foundational understanding of fundamental economics and its practical application to financial markets
proven experience with derivative pricing models and an awareness of their inherent limitations
proficiency in programming languages such as Python and C++
basic database skills and familiarity with relational databases (e.g., Oracle, Sybase)
exceptional spreadsheet capabilities
strong analytical and sophisticated problem-solving abilities
excellent written and verbal communication, and interpersonal skills
a demonstrated ability to apply economic principles effectively to risk management and model development challenges
highly self-motivated with a strong work ethic and the capacity for autonomous work
exceptional communication skills, critical for quantifying risks and articulating them clearly within a rapid decision-making environment
ability to confidently lead discussions on structured products' credit exposure and credit risk with diverse audiences
a strong eagerness and inherent ability to rapidly comprehend the complexities of structured derivatives
a robust understanding of economic principles and their direct impact on derivative pricing and risk

What we offer:

A chance to develop in a highly innovative environment where you can use the newest technologies in a top-quality organisational culture
professional development in a truly global environment
inclusive and friendly corporate culture where gender diversity and equality is widely recognized
a supportive workplace for professionals returning to the office from childcare leave
an enjoyable and challenging learning path, which leads to a deep understanding of Citi’s products and services
competitive base salary (which is annually reviewed)
additional benefits that support you (and your family) to be well, live well and save well

Additional Information:

Job Posted:
August 21, 2025

Employment Type:

Fulltime

Work Type:

On-site work

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Quantitative Lead Analyst