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Citi is an American multinational investment bank and financial services corporation headquartered in New York City, NY.
(more about Citi)AVP, Quantitative Modeling - Securitized Products Risk Manager
The Market Risk Manager provides full leadership and supervisory responsibility. Provides operational/service leadership and direction to team(s). Applies in-depth disciplinary knowledge through provision of value-added perspectives or advisory services. May contribute to the development of new techniques, models and plans within area of expertise. Strong communication and diplomacy skills are required. Generally has responsibility for volume, quality, timeliness of end results and shared responsibility for planning and budgets. Work affects an entire area, which eventually affects the overall performance and effectiveness of the sub-function/job family. Full supervisory responsibility, ensuring motivation and development of team through professional leadership to include duties such as performance evaluation, compensation, hiring, disciplinary and terminations as well as direction of daily tasks and responsibilities. Responsible for measuring, monitoring and analyzing the organization’s market risk exposure on a day-to-day and long-term basis for various financial products. Market risk pertains to potential loss due to market movements such as changes in interest rates, equity prices, credit spreads and foreign exchange rates. Individuals monitor trading limits and are responsible for approving transactions over certain established limits. Work with traders or trading management and recommend actions to mitigate risk. Responsible for monitoring and analyzing the organization’s risk exposure by understanding the risks and rewards of the Citi products. Structures solutions to mitigate risks of those products.
Responsibilities:
- Work with trading desk to ensure that all relevant market risk factors are properly identified and formally captured in official risk systems
- Collect and aggregate data from multiple industry specific sources
- Facilitate analysis and meaningful reporting of the data
- Work with senior risk managers in market specific compliance programs
- Develop and maintain an appropriate autonomous market risk limits framework with applicable limits and triggers
- Autonomously monitor business compliance with the firm’s market risk-related policies
- Assist in product specific risk reporting and limit monitoring
- Oversee risk exposure measurement and limit monitoring processes to ensure integrity and appropriate independence of reporting
- Participate in the development of business-level stress testing, review results and assess appropriate follow-up actions
- Participate in the ongoing development, implementation and upgrade of risk systems
- Well defined mid to long term projects in working with senior mentors that require technical skills and strategic planning, enabling development in analytical capacity and critical thinking
- Appropriately assess risk when business decisions are made, demonstrating particular 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, as well as effectively supervise the activity of others and create accountability with those who fail to maintain these standards.
- Actively participate in the development of business-level stress testing and development of appropriate time series for asset classes to be used for VAR, stress testing analysis and FRTB implementation
- Product coverage in Agency RMBS and CBMS, Non-Agency RMBS, CMBS, Consumer ABS , Commercial and Residential Loans
Qualifications:
- 2-5 years relevant experience
- Degree in a quantitative or financial discipline.
- Knowledge of financial instruments and risk metrics • Quantitative skills including mathematics involved in risk estimation and modelling • Excellent written and verbal communication skills • Must be a self-starter, flexible, innovative and adaptive • Ability to work collaboratively and with people at all levels of the organization • Work collaboratively with regional and global partners in other functional units; ability to navigate a complex organization • Excellent project management and organizational skills and capability to handle multiple projects at one time • Proficient in MS Office applications (Excel/VBA, Word, PowerPoint) and SQL, Python, Tableau • Experience in performing data analysis
Education:
- Bachelor’s/University degree or equivalent experience, graduate degree a plus
This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.
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Job Family Group:
Risk Management-------------------------------------------------
Job Family:
Market Risk------------------------------------------------------
Time Type:
Full time------------------------------------------------------
Primary Location:
New York New York United States------------------------------------------------------
Primary Location Salary Range:
$105,510.00 - $158,270.00------------------------------------------------------
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.
Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.
View the "EEO is the Law" poster. View the EEO is the Law Supplement.
View the EEO Policy Statement.
View the Pay Transparency Posting
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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.