Hybrids Trading Book Market Risk Manager, VP

Citigroup Inc. New York , NY 10007

Posted 3 months ago

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.

Responsibilities:

  • 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

Knowledge/ Experience

  • 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.

Education:

  • Bachelor's/University degree, Master's degree preferred

Skills:

  • 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


Grade :All Job Level

  • All Job FunctionsAll Job Level

  • All Job Functions

  • US

Time Type :


Citi is an equal opportunity and affirmative action employer.

Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.

Citigroup Inc. and its subsidiaries ("Citi") invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity CLICK HERE.

To view the "EEO is the Law" poster CLICK HERE. To view the EEO is the Law Supplement CLICK HERE.

To view the EEO Policy Statement CLICK HERE.

To view the Pay Transparency Posting CLICK HERE.


icon no score

See how you match
to the job

Find your dream job anywhere
with the LiveCareer app.
Mobile App Icon
Download the
LiveCareer app and find
your dream job anywhere
App Store Icon Google Play Icon
lc_ad

Boost your job search productivity with our
free Chrome Extension!

lc_apply_tool GET EXTENSION

Similar Jobs

Want to see jobs matched to your resume? Upload One Now! Remove
Market Risk Officer VP

Citigroup Inc.

Posted 6 days ago

VIEW JOBS 2/15/2020 12:00:00 AM 2020-05-15T00:00 The Market Risk Officer is a strategic professional who stays abreast of developments within own field and contributes to directional strategy by considering their application in own job and the business. Recognized technical authority for an area within the business. Requires basic commercial awareness. There are typically multiple people within the business that provide the same level of subject matter expertise. Developed communication and diplomacy skills are required in order to guide, influence and convince others, in particular colleagues in other areas and occasional external customers. Significant impact on the area through complex deliverables. Provides advice and counsel related to the technology or operations of the business. Work impacts an entire area, which eventually affects the overall performance and effectiveness of the sub-function/job family. Responsible for measuring, monitoring and analyzing the organization's market risk exposure on a day-to-day and long-term basis for various financial products. Market risk pertains to potential loss due to market movements such as changes in interest rates, equity prices, credit spreads and foreign exchange rates. Individuals monitor trading limits and are responsible for approving transactions over certain established limits. Work with traders or trading management and recommend actions to mitigate risk. Responsible for monitoring and analyzing the organization's risk exposure by understanding the risks and rewards of the Citi products. Structures solutions to mitigate risks of those products. Responsibilities: * Working with each trading desk to ensure that all relevant market risk factors are properly identified and formally captured in official risk systems * Working with senior risk managers in Volcker compliance program * Developing and maintaining an appropriate autonomous market risk limits framework with applicable limits and triggers * Autonomously monitor business compliance with the firm's market risk-related policies * Assist in credit product and muni product risk reporting and limit monitoring * Oversee risk exposure measurement and limit monitoring processes to ensure integrity and appropriate independence of reporting * Participate in the development of business-level stress testing that properly considers risk concentrations by single issuer, risk rating, sector/industry and geography; review results and assess appropriate follow-up actions * Participate in the ongoing development, implementation and upgrade of risk systems including CRMR/VaR, CRMR/Issuer risk, LimitCentral/Volcker, LimitCentral/issuer risk * Small tasks/projects which constitute direct integration with trading businesses and market in general, a fantastic learning opportunity for credit market and products * Working with senior mentors on well-defined mid to long term projects that require technical skills and strategic planning, enabling development in analytical capacity and critical * Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency. Qualifications: * 6-10 years relevant experience * Degree in a quantitative or financial discipline. * Knowledge of financial instruments and risk metrics • Quantitative skills including mathematics involved in risk estimation and modelling • Excellent written and verbal communication skills • Must be a self-starter, flexible, innovative and adaptive • Ability to work collaboratively and with people at all levels of the organization • Excellent written and verbal communication and interpersonal skills • Ability to both work collaboratively and autonomously; ability to navigate a complex organization • Advanced analytical skills • Excellent project management and organizational skills and capability to handle multiple projects at one time • Proficient in MS Office applications (Excel/VBA, Word, Power Point) and SQL * Programming and/or database management experience Education: * Bachelor's/University degree, Master's degree preferred This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required. Focus on Data Quality for Counterparty Schedule * ------------------------------------------------ Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - US * ----------------------------------------------------- Time Type : * ----------------------------------------------------- Citi is an equal opportunity and affirmative action employer. Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity. Citigroup Inc. and its subsidiaries ("Citi") invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity CLICK HERE. To view the "EEO is the Law" poster CLICK HERE. To view the EEO is the Law Supplement CLICK HERE. To view the EEO Policy Statement CLICK HERE. To view the Pay Transparency Posting CLICK HERE. Citigroup Inc. New York NY

Hybrids Trading Book Market Risk Manager, VP

Citigroup Inc.