Citibank, N.A. seeks a Market Risk Senior Officer for its New York, New York location.
Duties: Responsible for the market risk management of Credit Valuation Adjustments (CVA) globally. Improve the accuracy of measurement of CVA extending the existing process across a wider range of products, implementing a consistent framework for measuring and managing the associated risks, and integrating the CVA into the overall market and counterparty risk framework. Work with trading desks and their respective quantitative and IT groups and financial controllers to enhance their current measurement methodology and ensure effective delivery to the firm’s risk systems to enable active risk management of the exposure. Justify for including clients to CVA Dynamic Hedge Program from hedge instrument liquidity and credit risk appetite perspectives and recommend for risk executive to approve. Quantify credit exposure for structured and complex derivative transactions under Credit Support Annex with complex and new provisions to determine Bank’s risk appetite to the clients. Perform program-wide periodic review for Dynamic Hedge Program and specific names and present and recommend executive to review and approve. Analyze end-to-end risk exposures along the risk reporting hierarchy and oversight daily risk from trade approvals, proxy bookings, and daily marginal risk changes, to risk driver explanations. Justify and review Pre-Settlement Exposure Cap based Business in/out flows and tighten the risk Cap when it is appropriate. Analyze and verify stress test and CCAR results and answer Federal Reserve Bank’s on-demand queries. Analyze and report business intelligence for Credit Value Adjustment portfolios from perspectives of business, risk, profitability, and economic for executives, managers, clients, and other executive stakeholders to review. Analyze competitive market strategies through analysis of related trading products, market, and liquidity trends to support daily Market Risk Management. Analyze the valuation and risk measure methodologies of the End-to-End Credit Value Adjustment, while performing the daily risk oversights, to identify opportunities to improve the risk analytics to better support the business and market and trading credit risks. Combine the best practice trends of technology and business to pinpoint the opportunities to simplify and improve the business support infrastructure and risk analytics to speed up the time-to-market and improve the profitability. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.
Requirements: Requires at least a Master’s degree, or foreign equivalent, in Applied Mathematics, Statistics, System Design Engineering, or related field and 8 years of progressive, post-baccalaureate experience as a Market Risk Senior Officer, IT Business Lead Analyst, Director, VP, or related position in Capital Markets Trading for a global investment bank. 8 years of experience must include: Large credit risk trading and risk management system design and solutioning; Review and assess End-to-End market risk and credit risk framework; Trading product including derivatives (swaps, options, and structured products on cross assets) and tradable securities (IR futures, stock, bonds, commodity futures and physical commodity, foreign exchanges), credit risk analytics and risk management practice; Credit Value Adjustment risk measuring and risk management; Trading floor market and trading credit risk measures and oversights; Enterprise market risk solution and risk management; Pricing, risk, and valuation data management, and profit and loss analytics, and Trading portfolio revenue attribution analysis. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #24808473. EO Employer.
Wage Range: $200,479.50 to $234,600.00
Job Family Group: Risk Management
Job Family: Market Risk
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Time Type:
Full time------------------------------------------------------
Primary Location:
New York New York United States------------------------------------------------------
Primary Location Full Time Salary Range:
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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Anticipated Posting Close Date:
Feb 27, 2025------------------------------------------------------
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