Counterparty Credit Risk Analytics, AVP

Job description

Join Citi's Institutional Credit Management (ICM) group, a critical First Line of Defense for wholesale and counterparty credit risk. This is an unparalleled opportunity to design, develop, and deploy cutting-edge, data-driven solutions that fortify our firm’s risk management strategies. You will play a pivotal role in ensuring robust and effective risk management across the organization, directly impacting Citi's strategic direction by aligning business and regulatory goals. Key responsibilities of the group include stress testing, trade advisory, exposure monitoring, risk identification, and credit analysis. Responsibilities: - Design, develop, and optimize advanced quantitative tools for counterparty exposure management, including PFE, factor sensitivity, risk capital, and stress testing - Partner with Sales & Trading, CVA, and Market Risk teams to ensure comprehensive coverage of counterparty and liquidity risk measures across all derivatives and financing products - Collaborate with Quantitative Risk, Markets Analytics teams, Technology, and Model Validation groups on CCR model development to address new products or risk areas - Engage with business managers and In-Business Ri...