SVP, Market Risk Stress Testing Analytics - C14 (Hybrid)

The Market Risk Senior Officer I is a strategic professional who closely follows latest trends in own field and adapts them for application within own job and the business. Excellent communication skills required in order to negotiate internally, often at a senior level. Developed communication and diplomacy skills are required in order to guide, influence and convince others, in particular colleagues in other areas and occasional external customers. Accountable for significant direct business results or authoritative advice regarding the operations of the business. Necessitates a degree of responsibility over technical strategy. 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 stress testing pertains to potential loss due to market movements such as changes in interest rates, equity prices, credit spreads and foreign exchange rates. 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.

This role is specific to the Market Risk Stress Testing function within Global Market Risk as a senior individual contributor with the following responsibilities.

Responsibilities:

• Risk Management oversight of Market Risk function through the identification and quantification of Material Market Risks
• Understand methodologies associated with limit sizing, portfolio optimization targeting risk appetite ratio, return on capital within revenue projection from client demand defined in the Volcker process, etc.
• Sufficient understanding of Market Risk and related quantitative topics, in particular, complex and non-linear products that contribute to stress testing to drive projects necessary for accurate risk capture using BAU metrics and analytics
• Analyze large data sets to oversee and ensure the integrity of the risk monitoring process associated with Material Market Risks monitoring
• Summarize detailed analysis for senior governance forums and contribute to reports for senior management in risk, business and board meetings
• Work with line risk managers to ensure that all relevant market risk factors are properly identified and formally captured in official risk systems
• Working with senior management on mid to long term projects that require technical skills and strategic planning, enabling development in analytical capacity and critical
• Monitor compliance with risk limits/triggers
• Frequent interaction with In-Business Risk functions to understand sources of market risk variation
• Interaction with Markets Quantitative Analysis, Model Validation, Risk Analytics and Financial Control to ensure thorough concise alignment of methodologies and models
• Interaction with Market and Credit Risk Managers to improve accuracy of regulatory and management reporting
• Interaction with regulators and auditors
• Partnering, collaborating and working with other areas within Citi, as necessary.
• Keeping abreast of regulatory changes, new regulations and internal policy changes.
• 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.

Qualifications:

• 10+ years relevant experience
• Degree in a Quantitative or Financial discipline
• Advanced knowledge of financial instruments, risk metrics and Market Risk Management • Advanced analytical, technical and quantitative skills • Expert knowledge of market risk and liquidity management and knowledge of secured financing, securitization, and derivative products • Excellent written and verbal communication skills • Must be a self-starter, flexible, innovative and adaptive • Highly motivated, attention to detail, team oriented, organized • Developed presentation skills with the ability to articulate complex problems and solutions through concise and clear messaging • Ability to work collaboratively and with people at all levels of the 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), SQL and Python
• Programming/modeling experience with Python

Education:

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

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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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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