Working in Citi's Quantitative Risk and Stress Testing Team

Dublin employee Sebastian Aburto shares his experience of working within Citi's Risk and Stress Testing team in Dublin.

Department Overview

Quantitative Risk and Stress Testing (QRS) is a function within the risk management organisation. The goal of QRS is to provide analytics to colleagues within Risk as well as our business partners across Citi. This can range from building models for each of the risk types, using models for the purposes of quantitative analysis to a range of other types of analysis to meet the business needs.

The QRS group covers Market Risk Analytics, Counterparty Risk Analytics, Credit Risk Analytics, Economic Forecasting, Risk Capital Analytics, Model Governance and Stress Testing covering locations such as  New York, London, Warsaw and Dublin.

 Tell us a little about your current role and experience to date?

 I joined Citi in 2017 to work in the Stress Testing team within QRS which covers all of CEP’s stress testing requirements such as the ICAAP (Internal Capital Adequacy Assessment Process) and the EBA Stress Tests. The aim of Stress Testing is typically to assess the institution’s ability to survive adverse economic events.

 Stress Testing can take a variety of forms, from covering all risk types simultaneously to focussing on specifics of certain businesses or risk types individually. My personal experience before Citi has focussed on capital markets across various risk functions including Market risk, Treasury and Model Validation. In addition to my on–the- job experience I have completed the Financial Risk Manager (FRM) qualification, which has proved invaluable in my day–to-day work.

 Have you been a part of any events or networks during your time at Citi?

Since starting at  Citi I have joined the Families Matter network (formerly the Parents Network) which focusses on providing support to parents within the organisation. We share  parenting tips and organise events for parents and children throughout the year for occasions such as Halloween, Christmas and Easter which are great fun for the little ones (unless they are scared of Santa). In addition, the network organises a New Fathers Workshop which provides support and a network of colleagues all transitioning to fatherhood for the first time. I’ve also been involved in many of the sporting activities within the organisation, most recently in the Docklands 5k run in Dublin.

What development opportunities have you had since joining Citi?

There have been a myriad of development opportunities offered, from internal training courses to class events such as the Mentoring scheme which I have recently completed. The mentoring scheme links eligible employees with a senior mentor within Citi to act as a sounding board for any career and personal development questions. The scheme also includes a number of classroom-based sessions focussing on personal branding, influencing skills and innovation. These trainings have provided useful insights in how to better present myself to others and improve my ability to influence.

 The level of exposure offered has been exceptional, with frequent opportunities to present to senior committees and executives as well as globally within the risk organisation. Furthermore, our team work with global experts within the risk management on a regular basis, which provides unrivalled opportunity in understanding the details of the most complex topics.Risk also have internal learning tools such as Degreed and the Risk University offering tutorials on key risk topics and businesses.

 What advice would you give someone coming for an interview on the team and what can new joiners expect in their first few days at Citi?

 Members of the teams in QRS typically have a mathematical or other quantitative background and are expected to apply that knowledge from day 1. In addition, coding or other computational proficiency desired in most areas of QRS. The Stress Testing team typically works on a quarterly cycle with key execution windows throughout the year so new team members will have adequate time to get up the learning curve.

 My advice for interviewees is to be honest about what their areas of proficiency are and where they have areas in which they would like to develop. In addition, the ability to reduce complex topics into a more succinct and understandable form is a highly desired attribute so interviewees should try to demonstrate this where possible. Those who are successful in joining the team should make the most of the joining period, ask as many questions as necessary, and challenge the status quo of the team and group. Furthermore, where new members have niche areas of skill or expertise, they should bring this to their team’s attention early on, as there is always capacity for new ideas to be incorporated.

 What is your favourite thing about working for Citi?

 The scale of Citi from both a geographic and business perspective is unrivalled. Due to its reputation, the company employs some of the best minds in the industry and it is truly rewarding to work with these people when the opportunity arises. In addition, the work is never the same, with continuing regulatory and business changes, we are always kept on our toes!

And finally, what’s next for you?

At the moment, I am looking at some of the recently posted senior roles in QRS and risk management in order to utilise my experience to help manoeuvre the group through the upcoming challenges.

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