Spv, Market Risk - New York, United States - Citi

Citi

Verified Company

New York, United States

3 weeks ago

Posted by:

Mark Lane

beBee recruiter

Description

The Global Rates Team within the Market Risk Management group is responsible for the oversight of this business.

This role is for a Risk Manager, located in New York, to join an existing team focused on the market risks associated with the G10 Rates Trading business in the region and cover the Non-Linear side.

The G10 NAM Rates Trading business is a significant business providing interest rate market-making and solutions to customers as part of the Global Rates franchise covering a wide-ranging set of products from Sovereign bonds to exotics.

The Non-Linear business trades inflation products, vanilla interest rate options, exotic products and bond derivatives (TRSs, Bond Forwards).

Role Responsibilities:

Be accountable for the identification and evaluation of market risks generated by the G10 NAM Rates Non-Linear business. Identification of 'top risks' and outlier stress events. Working on and performing adhoc scenarios.
Communication with trading desks.
Working with others to ensure that the reported exposures are correct and cover the main drivers of risk and potential P/L; identification and resolution of any data issues.
Ensuring limits are properly set and monitored accurately. Contribute to the development or production of metrics used to satisfy regulatory requirements and stress testing processes.
Periodic preparation of information material and presentation to senior management and regulators. Ability to speak as needed on market events.
Review and validate assumptions in risk models used by underlying business units and analyze the impact of model changes.
Work closely with Financial Control, Price Verification and the Model Validation groups within the organization to ensure that the proper controls are in place.
Help with reviews of new business proposals including risk limits setting and monitoring and ensuring risks can be fully captured within the firm's systems.

Experience / Competencies:

Proven, relevant experience in rates nonlinear markets with good knowledge of the markets, products and risk.
Good quantitative level of experience with rate products and their risks.
Experience with portfolio risk measurement techniques including VAR and stress testing.
Strong relationship management and liaison with business people of all levels. But must be willing to challenge as needed, particularly front office.
Must be dedicated to information integrity and to producing high quality and insightful output and hitting deadlines where applicable. Must be prepared to go into as much detail as is required to resolve issues. Must be capable of working very productively using time very efficiently.
Good presentation and communication skills.
Bachelor level degree, Masters or PhD can be useful. Familiarity with financial or statistical modelling is beneficial.
Strong experience and facility with Excel including VBA and addin functions, ideally with experience of using financial pricing functions. Python and/or Business Intelligence experience not required, but useful.

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Job Family Group:

Risk Management

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Job Family:

Market Risk

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Time Type:

Full time

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Primary Location:

New York New York United States
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Primary Location Full Time Salary Range:
$176, $265,080.00

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Anticipated Posting Close Date:

May 31, 202- Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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