Key Responsibilities:

Risk Capital is a firm-wide metric to measure economic capital usage at the consolidated group and CBNA levels as well at the relevant detailed levels such as country, other legal entity and business unit. It is reported to regulators and the Board as a key capital adequacy metric for Citigroup and its major legal entities (MLE). Risk Capital is also used extensively in the ICG, CCB and GCRM to set risk limits and to assess the risk-adjusted profitability of large transactions.

Risk Capital is increasingly visible to Citi’s business leaders because it is being used to allocate Tangible Common Equity (TCE) on a firm-wide basis globally. Allocated TCE is a critical input in one of the core measures of business profitability (RoTCE). The go-live of this new measure will increase the visibility of Risk Capital as well as the priority for Risk Capital enhancements.

Key Responsibilities:

• Develop new or enhancements to Risk Capital models, with active engagement of key internal clients in Credit Risk, Market Risk, Country Risk, Treasury, Finance and Business

• Lead Risk Capital model initiatives for Market, IRRBB, Pension and other potential Risk areas

• Support production Risk Capital model inquiries from internal clients and regulators

• Implement risk capital model libraries and associated analytical tools

• Partner with Model Risk Management, participate in full model development, validation and ongoing performance monitoring cycles

• Partner with Finance and Risk Infrastructure (FRI) and IT to ensure that Risk Capital enhancements are correctly implemented and integrated in Citi’s Risk and Finance systems

Qualifications:

• Master’s degree or PhD preferred in a quantitative discipline (i.e. Math, Physics, Statistics)

• 8+ years of experience in an analytics/quantitative research roles in a financial institution. Knowledgeable about risk measurement issues in market risk or credit risk (including wholesale credit and counterparty credit) – ideally both

• Experience with risk capital concepts and issues.

• Strong communicator, self-starter, and team player

• Eagerness & ability to grasp complex risk capital concepts quickly

• Proficient in C/C++, Python, R, Excel VBA and/or other statistical/programming languages

• Experience with model coding, implementation and integration with technology systems, knowledge of distributed computing, Monte-Carlo simulation

• Ability to navigate through complex data and infrastructure environment a plus

• Exceptional candidates who do not meet all these criteria may be considered for the role provided they have the necessary skills and experience

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Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - US

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Time Type :Full time

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