Citi is today's pre-eminent financial services company and was built to create a highly diversified financial services company that could act as one to deliver solutions to clients throughout the world. With the most diverse array of products and the greatest distribution capacity of any financial firm in the world, our employees manage 200 million customer accounts across six continents in more than 100 countries.
Citigroup Inc. and its subsidiaries ("Citigroup") are equal opportunity employers M/F/D/V and do not discriminate on the basis of any legally protected status or characteristic.
Job Purpose:
The Risk Manager for Trading Book Risk Portfolio is responsible, as part of a team, for analysis of all market risks undertaken by the ICG's Global Markets team globally.
The primary focus is on analysing risk measures and their inputs, e.g., stress testing (global systemic and business specific), integrated VaR and Stress Testing, and risk capital, as well as on associated return analysis, e.g. Sharpe and Sortino Ratios. In addition, the team works closely with Front Office on Volcker Metrics and is involved in calculation of return on risk for material risk takers,
As part of the return analysis, the team maintains a database of all P&L across Global Markets and this is updated from a number of sources. This role has primary responsibility for the maintenance
Job Background/context:
Trading Book Risk Management is comprised of four main strands: Credit Trading Risk Management, CVA Risk Management, Trading Book Risk Analytics, and Trading Book Risk Portfolio Analysis. This role is part of the Portfolio Analysis team which is responsible for ensuring consistency of risk management practice across all Market Risk Managers and underlying products globally. Global markets is a core business across Citi.
This role plays a technical and yet very practical role in helping the firm to determine the financial resources that it allocates to its trading activities.
The successful candidate will need to be able to develop a thorough understanding of these products and in-depth knowledge of the markets in which they are traded, as well as analyse the portfolio and highlight characteristics that may cause losses.
Key Responsibilities:
• Interact with diverse groups across Global Markets business lines to monitor and report key risks for financial processes.
• Utilize complex computational finance models including Monte Carlo simulations, interest rates, and Black Scholes option pricing theory to perform risk analysis.
• Utilize Bloomberg, VBA, SQL, Matlab, and C to perform analysis on data-intensive projects and build connections across platforms.
• Perform business-specific portfolio stress tests to be incorporated into firm-wide risk capital calculations.
• Provide trading desks and risk managers with trading risk capital estimation tools.
• Lead Volcker Rule metrics project for Market Risk Group and collaborate with project leaders for Risk Architecture, Finance, and Regulatory Reforms Groups.
• Review correlations between market and trading performance.
• Understand CitiRisk's replication strategy and how it can be used for VaR and Basel III capital reduction.
• Collaborate with senior management to prepare monthly reports and presentations covering market round-up, business performance, key risk metrics, stress test result back-tests, etc..
• Be involved in the process of reviewing the validity of market-related assumptions inherent in models used for official valuation and/or market risk measurement purposes
Development Value:
By being exposed to the wide-range of financial instruments traded across all of Citi's Global Markets, the role will enable the successful candidate to get a deeper understanding of the markets in which these products operate and the risks associated with them, while at the same time gaining direct exposure to traders, research, Finance and Technology in addition to many other areas of Risk Management
Knowledge/Experience:
• In-depth understanding of markets and market characteristics, such as pricing, market liquidity and market volatility, across a broad range of financial instruments
• Prior experience in either a risk management or trading role is a plus as is familiarity with Citi systems
Skills:
• Attention to detail and strong analytical skills
• Sound computing skills essential, prior programming and/or database management experience a plus
Qualifications:
• Relevant experience and an in-depth understanding of markets and the financial services sector.
• An undergraduate or postgraduate degree in a quantitative or financial discipline.
• Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.
Competencies:
• Readiness to use initiative with limited supervision
• Ability to work well in groups and flexibility in addressing a number of projects simultaneously
• Willingness to resolve conflicts and work well under pressure
Ability to evaluate both strategic and tactical issues related to the business
Advanced interpersonal and communication skills given the need for frequent interaction with senior management across both business and control functions
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