Citi Credit Risk Analytics - Quantitative Analyst in Shanghai, China

  • Primary Location: China,Shanghai,Shanghai

  • Education: Master's Degree

  • Job Function: Risk Management

  • Schedule: Full-time

  • Shift: Day Job

  • Employee Status: Regular

  • Travel Time: No

  • Job ID: 17042037

Description

  • Calculate Counterparty Exposure on derivative products across all markets/asset classes.

  • Actively participate in further development of Counterparty Analytics tools & infrastructure.

  • Develop/create models/spreadsheets for exposure calculation.

  • Advices on credit risk mitigation and explain counterparty risks to sales, trading & credit risk management.

  • Work on ancillary /adhoc projects to further global systematic calculation of derivatives' counterparty risk & risk management process.

Qualifications

  • Masters in a math finance/ Masters in quantitative discipline with Derivatives math knowledge & experience. Working experience in a quantitative role in financial/consulting services with good understanding of derivatives' modelling/pricing, is a plus.

  • Some Knowledge of unix & programming languages (e.g. C++ & Perl etc.).

  • No direct experience of counterparty risk calculations needed, but some knowledge of market risk management techniques are desirable.

  • Knowledge of a wide range of derivative products (FI, Eqty, cmdty, FX, Credit) would be ideal but not a pre-requisite.

  • Good communication skill is essential as the position requires quatifying risks and explaining them in a quick decision making enviornment.

  • Eagerness & ability to grasp the complexity of structured derivatives quickly.