Director In-Business Risk

The Markets In-Business Risk (IBR) is a newly established Front office 1st Line of Defense team responsible for market risk across asset classes within Citi’s Global Markets division. One of the mandates is to implement a new operating model across in-business risk teams to ensure that in the first line we are identifying, monitoring and managing Market Risk and optimize capital based risk metrics to achieve business strategic objective of improving financial resource productivity. The team is looking to make a senior hire to lead efforts on Stress Testing and Market Risk Capital usage modelling within Markets. The role will report into the Head of the Markets IBR.

Some key responsibilities including:

• Understand firm’s overall risk appetite and capital framework to allow effective optimization and allocation of risk appetite
• Understand current methodologies/models and processes for Stress Scenarios/CCAR/RWA workstreams impacting TCE usage for the business
• Be the point person and partner with Desks/Quants/Market Risk/Technology and other relevant teams to propose and drive any relevant improvements to the current methodologies
• Understand the underlying data and time series used in various models and lead FO efforts to vet these.
• Build Front Office/shadow version/alternate benchmark models across product areas for use in validation, enabling what-if analysis for RWA and other capital metrics and for underlying sensitivities & attribution analysis
• Strengthen the processes used for calculating any relevant metrics by building analytics and/or liaising with specific asset class quant teams to enhance existing pricing models – lead efforts to develop and maintain in-house python and C analytics libraries
• Identify and monitor systemic and idiosyncratic risks across businesses and identify any rising material risk events
• Closely track performances of products within Markets on a regular basis, understand the drivers of market movements across different asset classes, analyze notable trends to form relative value and forward-looking view of material risks
• Coordinate with business heads and technology team to develop a robust and comprehensive risk monitoring framework that allows the business to manage the overall risk positions in real time

Additionally, as a senior leader within the Market IBR team, you would be expected to:

• Appropriately assess risk/reward of transactions when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper 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.
• Strengthen risk monitoring, control and governance process within the business
• Be familiar with and adhere to Citi’s Code of Conduct and the Plan of Supervision for Global Markets and Securities Services; and ensure that all team members understand the need to do the same
• Adhere to all policies and procedures as defined by your role which will be communicated to you

Required skills include:

• Graduate degree (preferably PhD) in Finance, Economics or another quantitative field (Mathematics, Computer Science, Physics, etc.) is required
• 10 years of experience in either sell-side or buy-side Risk Modelling, Research, Macro/Cross-Asset Trading or relevant academic research
• Experience in developing comprehensive risk management frameworks and some familiarity with relevant regulatory guidance across risk stripes
• Strong business process / analytical design skills and experience
• Proven track record of managing teams/attracting talent and organizational leadership
• Results oriented, pro-active and decision maker
• Excellent interpersonal and communication skills with proven people management skills to support and further develop the team

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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.