Senior Quantitative Analyst - Risk Capital Model Development

## Excited to grow your career? We value our talented employees, and whenever possible strive to help one of our associates grow professionally before recruiting new talent to our open positions. If you think the open position you see is right for you, we encourage you to apply! Our people make all the difference in our success. \------------------------------------------------------ Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your extensive skills and experience of quantitative risk modelling, analytics, or finance along with strong knowledge of Risk Capital frameworks to Citi’s Risk Data, Analytics, Reporting & Technology (DART) business within Risk Management. By Joining Citi, you will become part of a global organization whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. Role / Team Overview: This role is a key part of the Risk Capital Model Development team. You will contribute to the strategic direction of Risk Capital modelling within Risk Management and Citi overall through your deep conceptual and practical expertise in quantitative risk modelling. You will be responsible for the hands-on development and implementation of sophisticated risk capital models, working closely with team members and stakeholders across the firm. What you'll do: * Contribute to the design, development, enhancement, and maintenance of Risk Capital models across wholesale credit risk, counterparty credit risk, market risk, and concentration risk frameworks. * Participate in the full model lifecycle for Risk Capital models, including methodology design, development, implementation, performance monitoring, and ongoing enhancement. * Apply advanced quantitative methodologies, including Monte Carlo simulation-based frameworks, correlation and dependency modelling, loss and recovery modelling, capital allocation methodologies, and stress loss estimation. * Develop and implement models to appropriately measure and monitor default risk, loss severity, concentration risk, tail risk, and diversification effects across portfolios, legal entities, sectors, and regions. * Perform model testing activities including benchmarking, back-testing, sensitivity analysis, and ongoing performance monitoring to ensure robustness, stability, and regulatory compliance. * Prepare high-quality model documentation in accordance with Citi Model Risk Management policies and governance standards. * Interacts with Independent Model Validation, Internal Audit, and regulators, including support for model reviews, regulatory exams, and remediation activities. * Coordinate with Risk Technology and production teams to ensure accurate, timely, and well-controlled implementation of Risk Capital models into production systems. * Provide analysis on complex analytical issues, structure solutions, and drive effective resolution across Risk, Technology, Finance, and Business stakeholders. What we’ll need from you: * 2+ years of experience in quantitative risk modelling, analytics, or finance within a large financial institution or equivalent environment. * Strong hands-on IT skills (for example: Python, C/C++, and other quantitative analytics software) are required. * Advanced understanding and hands-on experience with quantitative methods including statistical modelling, stochastic processes, numerical methods, and large‑scale simulation frameworks. * Strong knowledge of Risk Capital frameworks, including credit, counterparty, market, and concentration risk, and related regulatory capital expectations is an additional asset. * Proven ability to communicate complex quantitative concepts clearly to non-quantitative stakeholders. * Master’s or PhD in Mathematics, Statistics, Finance, Physics, Engineering, or a related quantitative discipline strongly preferred. What we can offer...