Citi Credit Risk Analytics - Quantitative Analyst in Shanghai, China
Primary Location: China,Shanghai,Shanghai
Education: Master's Degree
Job Function: Risk Management
Shift: Day Job
Employee Status: Regular
Travel Time: No
Job ID: 17042037
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.
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.