Market Risk Officer - VP

The Global Markets In-Business Risk (IBR) is a Front Office 1st Line of Defense team responsible for market risk across asset classes within Citi’s Global Markets division. The team is missioned to establish a holistic understanding of market risk and capital of the aggregated trading portfolio, as well as to optimize business’s return on capital. Global Markets IBR covers all trading businesses globally such as Rates and Currencies, Spread Products, Commodities, and Equities. The main focus of this role is a coverage of a cross-asset portfolio risks arising from markets business/trading activities in Paris branch and those booked on EU legal entities (post-Brexit).

Key responsibility include:

• Identify key market risk within Markets’ trading inventory with consideration of key market themes and environments through data analysis.
• Communicate results daily with head of IBR and trading heads.
• Help design appropriate hedging strategy as needed.
• Closely track performances of products within Global and European Markets on a regular basis, understand the drivers of market movements across different asset classes, analyze notable trends to form relative value and forward-looking view of material, concentration, and emerging risks.
• Understand firm’s and appropriate legal entities risk appetite, limit, and capital framework to allow effective optimization and allocation of risk appetite.
• Build front to back holistic understanding of risk and its implications on all attributions of capital, such as Stress losses, Value-at-Risk, FRTB, etc.
• Support head of IBR and business heads to analyze their return on capital and risk appetite ratio.
• Work closely with independent risk teams (2nd Line of Defense) in sizing appropriate risk limits for the overall business and legal entities as appropriate and monitor risk limit utilizations across businesses and legal entities
• Strengthen risk monitoring, control, and governance process within the business and legal entities, assist with occasional regulatory questions and requirements.
• Work with Technology / MQA to develop comprehensive risk monitoring framework to manage overall portfolio risk and capital utilization in a timely manner, propose optimization strategy.

Qualifications:

• Proven experience in a related role, such as Trading/Structuring/research or quantitative/data analysis, for which one of the focuses was centered on managing market risk.
• Background and knowledge of Fixed Income and equity markets, and Fixed Income product structuring and trading are beneficial
• Cross asset class product and market knowledge is important
• Effective interpersonal skills to develop and maintain relationships with trading desks, independent risk, and technology teams
• Consistently demonstrates clear and concise written and verbal communication
• Exceptional analytical and numerical competency. Strong analytical / quantitative background.
• Must have strong attention to detail, be self-motivated and inquisitive with an interest in financial markets and trading
• Strong MS Excel, Bloomberg, Tableau, and problem-solving skills.
• Programing skills such as SQL and python is preferred.
• Ability and strong interest to learn and understand various asset classes and associated risks

Education: Bachelor’s degree or master’s degree. Preferably in Engineering, Statistics, or Finance.

Language: preferably bilingual (French and English), but not a requirement

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