Quantitative ESG Analyst

This position is in the Quantitative Research & Global Asset Allocation team in Citi Personal Banking and Wealth Management (PBWM). The position has matrix reporting to the COO for Sustainability. The position will support ESG analysis of Citi Investment Management (CIM) portfolios within PBWM. This will involve enhancing the understanding of the impact of climate change on CIM's portfolios across asset classes, including physical risk, policy/regulatory risk and technological opportunities. The role will also include working with the Quantitative Research team and Sustainability team to develop proprietary ESG ratings models.

About Citi

Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.

PBWM, within Citibank, provides personalized wealth management services for both ultra-high-net-worth clients and retail clients globally. Citi Investment Management is PBWM's discretionary global asset manager, focusing on personalized portfolio construction based on the specific investment needs of each investor.

CIM portfolios invest in traditional asset classes and provide diversification through the inclusion of alternative investments. With over $100 billion in asset under management, CIM offers individually managed investment portfolios across a broad range of asset classes that can be tailored to client requirements. Portfolios can be invested in individual securities and/or strategies managed by third parties.

AVP/VP position, based in NYC

Description Summary:

* Develop an understanding exposure of CIM portfolios to climate change related risks using external models to quantify transition risks, policy/regulatory risks, and technological opportunities.
* Collaborate with Sustainable Investing team to design an internal ESG scoring model for CIM portfolios through integration of external ratings models.
* Lead efforts to document and test climate risk models for equity and fixed income securities, including writing code required to carry out testing.
* Lead efforts to push climate models through the rigorous Citi model validation.
* Responsible for on-going model performance testing/monitoring as required by the Citi Model Validation Group (MVG) based on MVG's assigned model rating.
* Working with Citi Technology, insure appropriate datafeeds from vendor are established and access to required internal databases are established.
* Responsible for oversight of ESG market data vendor's methodology.
* Responsible for building and running climate model and other regulatory ESG risk management models across CIM portfolios.
* Working with Citi Technology, develop appropriate reporting of climate risk scores.
* Educate portfolio managers of climate risk modeling and portfolio impacts.
* Where required by regulation or product risk management policy, conduct impact analysis on the double materiality risks and impacts of environmental, social and governance factors on investment products distributed by PBWM globally (CIM & Capital Markets)

Qualifications

* Master's degree in Applied Mathematics / Statistics / Computer Science/ Physics / Engineering, Quant Finance or related field.
* Four years+ of risk/quant experience in the investment management business.
* Strong database and programming skills. Preference for SQL, R, Python, MATLAB, Excel-VBA.
* Previous experience in ESG, portfolio construction and, risk modelling helpful.
* Strong communication skills.
* Ability to work well in teams and lead and manage projects in partnership with internal technology teams from development through delivery.