Credit Portfolio Sr Analyst

Citigroup Global Markets Inc. seeks a Credit Portfolio Senior Analyst for its New York, NY location.

DUTIES: Perform credit reviews, support credit approval processes, and monitor Citi’s global credit portfolio to identify credit migration trends by applying in depth disciplinary knowledge and integrating subject matter and industry expertise within the Risk Management function. 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. Perform portfolio risk analysis and scenario analysis for OTC derivatives across assets. Analyze quantitative risk models and provide margin estimate for traders using a risk-based variance-covariance model. Evaluate risks (greeks) for each individual constituents 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. 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. Four (4) years of experience must include: 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; and 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. In the alternative, employer will accept a Master’s degree, or foreign equivalent, and two (2) years of experience. 40 hrs./wk. EO Employer.

Wage Range: $154,856.00 to $154,856.00

Job Family Group: Risk Management

Job Family: Portfolio Credit Risk Management

Time Type

Full time

Primary Location

New York, New York, United States

Primary Location Full Time Salary Range

In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

Most Relevant Skills

Wholesale Lending Operations Management.

Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

Anticipated Posting Close Date

Nov 09, 2026

Automated Processing and AI

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