Market Risk Officer

Citibank, N.A. seeks a Market Risk Officer for its New York, NY location.

Duties: Provide independent oversight of the market risks taken by the XVA (X Valuation Adjustments like Credit Valuation adjustment, Funding Valuation Adjustments etc) desk. Assess a broad spectrum of risks for the desk, liaising with other risk functions as necessary, including operational, credit, and counterparty risks. Work closely with the trading desk and other risk and control functions, such as Finance, as well as partnering with technology on Transformation activities. Responsible for measuring, monitoring and analyzing the organization’s market risk exposure on a day-to-day and long-term basis for the associated financial products. Cover the derivatives XVAs (e.g. CVA, FVA, DVA), including market factor sensitivities, as well as fair value option elected note issuance (FVO DVA). A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements: Bachelor’s degree, or foreign equivalent, in Financial Engineering, Finance, Mathematics, or a related field, and six (6) years of experience in the job offered, or in a related occupation in the financial services industry.  Six (6) years of experience, or four (4) years in the alternative with a Master’s degree, must include: Working on Regulatory Risk management requirements which comprises of stress testing and capital adequacy processes including FRTB, legal entity ICAAPs, CCAR, Risk Appetite Programme, and SA-CVA; Working on specific projects with multiple stakeholders including BSST & GSST reviews, Limit reviews, Dynamic hedging program & reviews, VaR monitoring & reviews; Building and enhancing existing risk models features including VAR engine, Scenario Analysis tools, Barra factors models and collaborating with the Tech department to put code into production cycle; Automating data processing tools in Python and VBA to improve working efficiency and quality; and Designing, presenting, and launching data visualization dashboard (Qlik View) for portfolios. In the alternative, employer will accept Master’s degree, or foreign equivalent, in an above stated field of study, and four (4) years of experience in the job offered or in a related occupation. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/.  Please reference Job ID #25849942. EO Employer.

Wage Range:                $182,300.00 to $188,100.00

Job Family Group:        Risk Management

Job Family:                  Market Risk

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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.

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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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