This role will report into the Head of Hybrids and CIS Market Risk Management, and is a critical part of the ICG franchise given the significant investment and growth in the Hybrids and CIS investment Businesses over the last 2 years.
The key aspects for the role will be to have primary responsibility for the day to day risk management of the Desks. They should be able to analyse and assess the risks inherent in the portfolio and to discuss with the trading desk, risk seniors, other control functions and external regulators the types of transactions transacted across the desk and their risk dynamics.
To be able to partner with the Business to help to bring a greater understanding and clarity to the main risks been taken by the trading desk, as well as Risk Based PAA analysis and FRTB regulations (VaR calculated on New Historical, full revaluation simulation) as well as Ensuring risks are being properly measured and controlled in line with the firm's risk policies.
Oversee and monitor the risks for the Desks, which include exposures from a broad spectrum equity, FX, interest rate, commodity, credit products.
Monitor exposures under the limit framework to ensure adherence to the Volcker Rule and market risk policies.
Update and enhance the limit framework as the relevant risks of the portfolio evolve over time.
Monitor, review, and discuss with the relevant FO personnel the types of transactions traded across the desk, as part of Pre-Trade approval framework.
Analyse complex and structured transactions, review the models to which these trades are booked to, and have an understanding what drives the derivative trading strategies for these products (which can involve highly complex relative performance and path dependency) and the resulting effect in the overall risk profile of the business.
Review the various Volcker metrics of the portfolio and ensure accuracy for each Volcker submission.
Design and implement stress testing scenarios as part of on-going risk management.
Compile, review and understand the results of the various regulatory stress tests (CCAR, ICAAP, PRA etc.)
Develop and implement any enhancements to new and existing tools and processes as part of proactive risk management.
Collaborate and partner with finance to ensure robust oversight governance
Good and sound understanding of the markets and Market Risk Management.
Good attention to detail and very strong analytical background as the trading portfolio spans different asset classes and complex structures.
Previous experience as a trader or risk manager is preferred.
Knowledge of VaR, its applications and limitations.
Programming skills Python or R preferred.
Understanding of Citi's business model and/or other financial institutions.
An understanding the market micro structure and markets operating environment.
Exceptional writing skills, with ability to synthesize complex concepts, translate into "user-friendly" language, and effectively present in text or slide format
Strong quantitative and spreadsheet skills, ability to analyse and interpret date
Diverse and wide range of skills and knowledge / expertise
Strong organisational skills and the ability to multi-task effectively in a high-volume and complex environment with changing priorities
Strong quantitative skills, particularly around statistics and strong attention to detail
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