Credit Portfolio Sr Analyst

Citi • New York, NY

2d • Hybrid

About The Position

Citigroup Global Markets Inc. seeks a Credit Portfolio Senior Analyst for its New York, NY location. The role involves performing credit reviews, supporting credit approval processes, and monitoring Citi’s global credit portfolio to identify credit migration trends. This requires applying in-depth disciplinary knowledge and integrating subject matter and industry expertise within the Risk Management function. The analyst will contribute to the development of new analytical techniques and enhancements to existing processes and workflows by analyzing credit and financial performance through statistical scoring, segmentation, regression, and simulation methodologies. Responsibilities include performing portfolio risk analysis and scenario analysis for OTC derivatives across assets, analyzing quantitative risk models, and providing margin estimates for traders using a risk-based variance-covariance model. The role also entails evaluating risks (greeks) for individual constituents with different risk weights and correlations, creating CRIF files for portfolio derivatives, calculating initial margins using SIMM, and evaluating results based on risk sensitivity measures. Additionally, the analyst will validate trade recommendations to optimize margin utilization, perform multi-lateral Initial Margin optimization for various asset classes, and run calculations for margin savings. Handling disputes related to pledged and secured initial margins between Citi and counterparties using SIMM and Uncleared Margin Rule knowledge is also a key part of the role. This includes analyzing root causes of initial margin differences by comparing risks and regulations. The analyst will develop margin models, validate model inputs, assess assumptions, and evaluate performance, as well as conduct research on methodologies of existing commercial margin risk models and integrate them into the firm’s systems. Enhancing front office margin analytical tools and the upstream risk framework, calculating house Initial Margin requirements using a Value-at-risk model, and validating volatility shocks are also expected. The role involves investigating, documenting, and maintaining Initial Margin issues, and collaborating with quant and IT teams to develop efficient computational processes. Performing UAT testing of margin models and evaluating their performance, as well as reviewing market data feeding into the technology system, are also required. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols.

Requirements

• Bachelor’s degree, or foreign equivalent, in Applied Mathematics, Financial Engineering, Operations Research, Information Engineering, or a related field, and four (4) years of experience in the job offered or in a related occupation performing credit risk analytics, credit portfolio monitoring, and financial risk analysis.
• Performing quantitative modelling to calculate portfolio risk under stress scenarios for financial derivatives portfolios across multiple asset classes
• Performing calibration and maintenance of risk models and enhancing front office risk analytical tools and upstream risk framework
• Automating and enhancing daily risk change framework and performing sanity checks for risk data quality using Python, SQL and Tableau
• Analysing historical data of market factors and their statistical properties to build Value-at-risk Models for Foreign Exchange, Interest Rates, Equities and Commodities for market risk management
• Validating trade recommendations to optimize portfolio risks for Foreign Exchange, Interest Rate, Equity, Commodity, and Credit products
• Identifying and resolving discrepancies about risk model outputs by validating risks (greeks) from pricing models and implementing algorithms to determine material disputes for regulatory reporting.
• Alternatively, a Master’s degree, or foreign equivalent, and two (2) years of experience.

Nice To Haves

• Wholesale Lending Operations Management

Responsibilities

• Perform credit reviews
• Support credit approval processes
• Monitor Citi’s global credit portfolio to identify credit migration trends
• Develop new analytical techniques and enhance existing processes and workflows
• Analyze credit and financial performance through statistical scoring, segmentation, regression, and simulation methodologies
• Perform portfolio risk analysis and scenario analysis for OTC derivatives across assets
• Analyze quantitative risk models and provide margin estimates for traders using a risk-based variance-covariance model
• Evaluate risks (greeks) for each individual constituent with different risk weights and correlations
• Create CRIF (Common Risk Interchange Format) files for portfolio derivatives for model input
• Calculate initial margins using SIMM (Standard Initial Margin Model) and evaluate the results based on risk sensitivity measures
• Validate trade recommendations to optimize margin utilization
• Perform multi-lateral Initial Margin optimization for Interest Rates, Foreign Exchange, Equities, Commodities and Credit
• Run and calculate Initial Margin savings for multi-lateral Initial Margin optimization
• Handle disputes pledged and secured initial margins between Citi and counterparties using SIMM and Uncleared Margin Rule knowledge
• Analyze the root causes of initial margin difference by comparing risk (greeks) and regulations between two parties
• Develop margin models, validate model inputs, assess model assumptions and evaluate model performance
• Perform model research on methodologies of existing commercial margin risk models
• Integrate models into the firm’s systems
• Enhance front office margin analytical tools and upstream risk framework
• Calculate house Initial Margin requirements using Value-at-risk model and validate volatility shocks of risk factors
• Investigate, document and maintain Initial Margin issues due to large daily changes and disputes
• Work with quant and IT teams to develop efficient computational processes
• Perform UAT testing of margin models and perform evaluation
• Review market data feeding into the technology system

Benefits

• medical, dental & vision coverage
• 401(k)
• life, accident, and disability insurance
• wellness programs
• paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays

What This Job Offers

• Job Type: Full-time
• Career Level: Senior