Quantitative In-Business Risk Manager - VP (Hybrid)

Job Description:
Institutional Credit Management (ICM) is a critical component of Citi's First Line of Defence for Wholesale and Counterparty Credit Risk (CCR) management. The group 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 Institutional Clients Group businesses to ensure full alignment on business and regulatory goals, as well as consistency and best practices, where appropriate.

Counterparty Exposure (CPE) is a global team within ICM responsible for measuring, monitoring, and controlling counterparty risk. The team is seeking a strong risk professional, preferably with experience in market risk or credit risk management, risk analytics and/or model development.

Key Responsibilities:

• Develop and enhance tools for the measurement, monitoring and management of Wholesale and CCR exposure across the bank
• Actively liaise with business, independent risk and technology partners to ensure comprehensive coverage of counterparty and liquidity risk measures across all derivatives and financing products
• Work closely with quantitative analytics teams, technology, and model validation groups on evolution of CCR models to capture new products and risks
• Work with business managers and in-business risk teams on 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 periodic risk analysis and reporting on existing client portfolios as well as customised risk analysis on new client portfolios
• Communicate key findings to senior management
• Put together presentations and documents for internal and external use on various topics including stress methodologies, risk issues, concentration reports, etc.
• Periodic review of the control environment, vetting of new systems, processes, policies, and procedures related to market/credit risk and ensuring alignment with market practices

Developmental Value:

• The team is new, giving an opportunity to expand the role as the function grows
• Develop deep market/credit risk knowledge and experience of cutting-edge risk models and risk management techniques
• Influence the strategic direction of the bank from a risk management perspective

Required Knowledge and Experience:

• Experience of managing market or credit risk; knowledge of multiple asset classes (rates and currencies, commodities, equities, credit) a plus
• Experience in working on large scale risk technology projects and/or model development
• A background in trading, risk management or structuring would be an advantage

Skills:

• Strong analytical skills with good attention to detail, with a demonstrated aptitude for tackling analytical issues through quantitative modelling and assimilation of data into a working product
• Stress testing skills essential, instrument modelling skills desirable
• Large scale project management skills spanning risk and technology desirable
• Strong Excel skills ideally incorporating VBA; programming skills in Python, R, or other statistical languages a plus

Education:

• An undergraduate or a postgraduate degree in a quantitative or financial discipline

Competencies:

• Excellent interpersonal and communication skills
• Ability to identify issues, build consensus, and drive projects through to resolution
• Sound risk and business judgment
• Entrepreneurial
• Ability to work independently, as well as in a team environment

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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Job Family Group:
Risk Management -------------------------------------------------
Job Family:
Business Risk & Controls ------------------------------------------------------
Time Type:
Full time ------------------------------------------------------
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