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Global Spread Product Credit Market Risk is one of the key groups within Citi Market Risk organization, covering all trade-able credit products including corporate, sovereign, EM spanning from vanilla single name to exotics and structured products. Our team works with trading businesses daily and very closely with firm’s other cross functional team as partners.

The Primary Responsibilities:

• Support Global Spread Product Senior Group Market Risk manager, managing price/market risk across a few trading desks over a wide range of traded credit products, including Leverage Credit Businesses (e.g. High Yield and Par Loan Secondary Flow credits), Short-term CPs, Muni, and Primary market syndicate businesses, as well as firm’s two key hedging programs.

• Develop and maintain an appropriate independent market risk limits framework with applicable limits and triggers. Working with each trading desk to ensure that all relevant market risk factors are properly identified and formally captured in official risk systems. Oversee risk exposure measurement and limit monitoring processes to ensure integrity and appropriate independence of reporting.

• Actively 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 determine appropriate follow-up actions.

• Perform data driven market and PAA analysis. Familiar with data requirements and architecture supporting banking and /or broker dealer activities / products. Proactively flag key risks and developments to senior management.

• Participate in the ongoing development, implementation and upgrade of risk systems including CRMR/VaR, CRMR/Issuer risk, Limit Central/Volcker, Limit Central/issuer risk.

• Lead Basel Ex-post Quarterly reviews and drive the transition from Basel 2.5 to FRTB-compliant processes. Manage ad-hoc queries around Trading Book/Banking Book Boundary.

• Small tasks/projects which constitute direct integration with trading businesses and market in general, a fantastic learning opportunity for credit market and products.

Other Responsibilities:

This position also provides an excellent opportunity for a market risk manager to help lead on FRTB Boundary work stream, one of Citi’s important regulatory directives and its implementation will constitute a highly visible and enterprise level project. The successful candidate will have strong understanding about bank wide regulatory requirements. Prior FRTB experience is highly desired.

Key elements of the role will include working with multiple stakeholders across the firm (Business, IT, Risk Reporting, Finance, Operations) and external vendors to ensure that milestones are met. Update and design policies and procedures to comply with FRTB boundary regulation and market best practices.

Qualifications:

• 6+ years’ experience, ideally in a major bank or broker dealer, and / or experience working in a consulting or technology firm supporting such businesses.

• Excellent project management and organizational skills and capability to handle multiple projects at one time. Able to work in a fast-paced environment and assumes full responsibility for tasks and project work.

• Ability to communicate effectively with internal stakeholders from different functions and at all levels of management. Ability to both work collaboratively and autonomously; ability to navigate a complex organization.

• High attention to detail and accuracy.

• A self-starter with a reasonable level of ambition and drive. Flexible, innovative, and adaptive.

• Knowledge of financial instruments and risk metrics.

• Proficient in MS Office applications (Excel/VBA, Word, PowerPoint). Programming and/or database management experience is preferred but not required.

Education:

• Bachelor’s/University degree, Master’s degree preferred.

• Field of study in Finance or Engineering preferred.

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

Job Family Group:

Risk Management

Job Family:

Market Risk

Time Type:

Full time

Primary Location:

New York New York United States

Primary Location Full Time Salary Range:

$176,720.00 - $265,080.00

In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

Anticipated Posting Close Date:

Sep 17, 2024

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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Citi is an equal opportunity and affirmative action employer.

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