Individual will work as part of Counterparty Credit Risk team under the global Institutional Credit Management (ICM) group and will be responsible for measuring, monitoring, and controlling counterparty credit risk (CCR) for institutional clients. The role is focused on developing counterpartyrisk & stress testing analytics and analyzing client portfolios and businesses to ensure the risks are being properly measured and controlled in accordance with the Firm's risk policies.
Institutional Credit Management (ICM) is a critical component of Citi's First Line of defense for wholesale and counterparty credit risk management and works with Independent Risk teams to ensure best-in-class risk and controls, as well as client responsiveness. Key responsibilities of the group include credit analysis, documentation, risk identification, exposure monitoring, and stress testing. ICM coordinates with credit management groups across Markets business to ensure full alignment on business and regulatory goals, as well as consistency and best practices where appropriate.
Key Responsibilities:
- Develop and enhance tools for the measurement, monitoring, and management of counterparty exposure including stress testing, PFE, risk capital, and wrong way risk
- Actively liaise with sales & trading, and risk managers to ensure comprehensive coverage of counterparty and liquidity risk measures across all derivatives and financing products
- Closely work with Quantitative risk and Markets analytics teams, Technology, and Model Validation groups on CCR model development and evolution of CCR models to address new products or risk areas
- Work with business managers and In-Business Risk teams on margin model development, new product approvals, and real-time monitoring and controls
- Monitor client portfolios to ensure that risks are controlled - primarily credit risk arising from market sensitive exposure and liquidity risk, but also documentation, legal, and reputational risks
- Perform daily and weekly risk analysis and reporting on existing client portfolios as well as customized risk analysis on new client portfolios
- Communicate key findings to senior management and act as the chair for CCR and in-business risk forums as appropriate
- Put together presentations and documents for internal and external use on various topics including functions of the Risk Group, stress methodologies, policies and risk issues
Developmental Value:
- The team offers opportunity to expand the role as the function grows
- Influence the strategic direction of the Bank from a risk management perspective
- Build solid market/credit risk experience as we use cutting-edge risk models and techniques
Knowledge and Experience:
- 6 or more years of directly relevant experience
- Experience with managing counterparty credit and/or market risk
- Demonstrated knowledge and experience with fixed income risk & analytics, including interest rate swaps/derivatives is required
- Experience with Prime Brokerage, Margined Lending, Secured Financing Transactions
- Understanding of multiple asset classes including rates, equities, foreign exchange, credit, and commodities
Skills:
- Strong analytical skills with good attention to detail and a demonstrated aptitude for tackling analytical issues through quantitative modelling and assimilation of data into a working product
- Excellent written and oral communication skills
- Large scale project skills spanning risk and technology
- Ability to work well with cross-functional teams from Business, Credit, Operations, and Compliance
- Demonstrates strong ethics and integrity. Ability to work independently as well as in a team environment. Can make decisions under pressure and short timeline
- Stress testing skills and instrument modelling skills desirable
- Strong Excel skills ideally incorporating VBA and Tableau. Programming skills in Python, R or other statistical languages is a plus
Education:
- Bachelor's/Master's degree in mathematics, science, finance, economics, or a related field required
- An MBA or CFA preferred
Job Family Group: Risk Management
Job Family: Credit & Portfolio Risk Management
Time Type: Full time
Primary Location: New York New York United States
Primary Location Full Time Salary Range: $129,840.00 - $194,760.00
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: Oct 02, 2024
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