What are the responsibilities and job description for the Market Risk Manager position at Citi?
Citibank, N.A. seeks a Market Risk Manager for its New York, New York location.
Duties: Manage price and market risk across a number of trading desks over a range of traded credit products, including High Yield and Distressed Secondary Flow credits, Short-term Commercial Papers, Primary market syndicate businesses, Risk Mitigating Hedging businesses. Work with each trading desk to ensure that all relevant market risk factors are properly identified and formally captured in official risk systems. Take leadership role by interacting with Risk Reporting and Risk IT team, and develop and maintain an appropriate autonomous market risk limits framework with applicable limits and Triggers. Oversee risk exposure measurements and limit monitoring processes, profit and loss, turnover, and trading activities through self-created data dashboards and official risk systems to manage market risk and ensure compliance with trading desk mandate. Work with senior risk managers and ensure regulatory and firm’s policy compliance (Volcker, Basel, Comprehensive Capital Analysis and Review, The Fundamental Review of the Trading Book, and other regulatory mandates). Drive the design, enhancement, and implementation of trading book liquidity framework; analyze liquidity metrics and present results to relevant forums. Collect and aggregate data from multiple industry specific sources and facilitate analysis and meaningful reporting of the data. Actively participate in the ongoing development, implementation and upgrade of risk systems including risk modeling (Value at Risk, incremental risk charge, etc.), risk database (CRMR), Volcker, and risk system. Participate in the development and review 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.
Requirements: Requires a Master’s degree (or foreign equivalent) in Mathematical Finance or related quantitative field and 2 years of experience as a Market Risk Senior Analyst or related occupation for a Financial Services company. Alternatively, will also accept a Bachelor’s degree or foreign equivalent in Mathematical Finance or related quantitative field and 5 years of progressive experience as a Market Risk Senior Analyst or related occupation for a Financial Services company. 2 years of experience must include: Market risk experience in fixed incomes and credit derivatives; Setting up and monitoring key risk metrics and applying risk assessment and quantitative modeling skills to analyze risk measures, risk factor sensitivity, and liquidity metrics; Working with model developers to validate Value at Risk models; Developing and conducting stress testing; Supporting senior risk managers on client facing communication, trading activities, limit sizing and monitoring, and stressed tests results on various of credit products; Participating in regulatory filing; Optimizing and streamlining risk reporting processes; Developing and maintaining data dashboards: Tableau or Qlikview; Managing and enhancing internal databases and data feeding logics; Using programming skills in SQL or Python to perform data analysis; and Collecting and aggregating data from Bloomberg. Applicants submit resumes at https://jobs.citi.com/ or by email to Citigroup Recruiting Dept. at NAMobilityRecruitment@citi.com. Please reference Job ID #23688322. EO Employer. This position is eligible for incentive pursuant to Citigroup’s Employee Referral Program.
Wage Range: $115,500 to $130,000
Job Family Group: Risk Management
Job Family: Market Risk
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Primary Location:
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Salary : $115,500 - $130,000
