VP, Portfolio Risk Manager
The Market Risk Officer is a strategic professional who stays abreast of developments within own field and contributes to directional strategy by considering their application in own job and the business. Recognized technical authority for an area within the business. Requires basic commercial awareness. There are typically multiple people within the business that provide the same level of subject matter expertise. 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. Significant impact on the area through complex deliverables. Provides advice and counsel related to the technology or operations of the business. Work impacts an entire area, which eventually affects the overall performance and effectiveness of the sub-function/job family. 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:
- Trading book limit reviews: limit sizing, portfolio optimization targeting risk appetite ratio, return on capital within revenue projection from client demand defined in the Volcker process, etc.
- Top risk: risk identification, exposure monitoring, trend analysis, back-testing and ad-hoc scenario analysis; work with line risk managers to ensure that all relevant market risk factors are properly identified and formally captured in official risk systems
- Management Reporting: contribution to reports for senior management in risk, business and board meetings
- Systemic stress testing: scenario design for BAU (Business as Usual) and CCAR/BHC (Comprehensive Capital Analysis and Review/Bank Holding Company); Participate in the ongoing development, implementation and upgrade of risk systems
- Business specific risk reviews: scenario reviews concentration, gap and other idiosyncratic risk
- Economic capital and allocation: methodology enhancement and trend analysis
- Regulatory interactions: annual CCAR reviews with the Federal Reserve Bank, monthly multi-regulator meetings focusing on stress and other portfolio risk metrics, other reviews on stress test with OCC (Office of the Comptroller of the Currency); prepare documentation and presentation material
- Value at risk: monitoring, hedging analysis and multi quarters Basel RWA projection under the CCAR scenarios
- Risk return/performance analysis: analyses P&L for Top Risk back-test and the quarterly "Lessons Learnt" analysis
- 6-10 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
- Must be a self-starter, flexible, innovative and adaptive • Ability to work collaboratively and with people at all levels of the organization• Ability to both work collaboratively and autonomously; ability to navigate a complex organization
- Excellent written and verbal communication and interpersonal skills Advanced analytical skills
- Excellent project management and organizational skills and capability to handle multiple projects at one time
- Proficient in math/statistical tools such as R, MATLAB Familiarity of programming and database tools such as VBA, Python and SQL
- 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. Position Objective:
Trading Book Portfolio Management ("TBPM") is a specialized risk portfolio group that seeks to lead and coordinate risk mitigation activities within the ICG for the Trading Book portfolio, which represents the market risk for ICG globally. TBPM, is concentrating on key initiatives to enhance Citi's risk management discipline including, Business Specific Stress Testing (BSST), Top Ten Risks, risk return metrics and other framework to enhance the aggregation of risk and to improve risk capital measures for regulatory and economic purposes. The TBPM team addresses a variety of strategic stress test issues across the global ICG trading portfolio and provides a unique opportunity to gain a strong understanding of a diverse set of risk management techniques. The group offers a lean structure with the potential for significant senior management exposure and works closely with business line market risk managers throughout the organization globally. Key Responsibilities:
To perform quantitative modeling and data management for the following processes, with a focus on risk associated with FRTB. Job Family Group:
Risk Management Job Family:
Market Risk Time Type:
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