Senior In-Business Risk Manager

About Global Markets In-Business Risk (IBR)

Global Markets In-Business Risk (IBR) is a Front Office 1st Line of Defense team responsible for market risk across all asset classes in Citi’s Global Markets division. The team develops a holistic understanding of market risk across the aggregated trading portfolio, and the associated capital impact, in order to manage risk within appetites and optimize the return on capital. Global Markets IBR covers all trading businesses globally such as Rates and Currencies, Spread Products, Commodities and Equities. The focus of this role is the coverage of cross-asset portfolio risks arising from the Markets business/trading activities.

What you will do:

• Proactively identify and quantify key market risks within Markets’ trading inventory via data analysis, considering the market environment and emerging themes. Communicate and discuss these with head of IBR and trading businesses. Help design appropriate hedging strategy as needed.
• Closely track performances of products across Global Markets, 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 the firm’s risk appetite, limits, and our capital framework to allow effective optimization and allocation of risk.
• 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. at Markets level.
• Support head of IBR and trading businesses 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 Markets business and to monitor and manage risk limit utilizations across businesses.
• Assist with occasional regulatory questions and requirements, including, but not limited to, requests related to FRTB readiness.
• Work with Technology / MQA to develop and improve comprehensive risk monitoring framework to manage overall portfolio risk and capital utilization in a timely manner.

What we need from you:

• Experience in a related role, such as Trading/Structuring/Research or quantitative analysis, with a focus on managing market risk. Risk taking experience is a benefit.
• Deep subject matter expertise on at least one asset class is beneficial, as is the ability to draw parallels between emerging dynamics and risks in different asset classes.
• Strong interpersonal skills - to build relationships with trading desks and second line risk.
• Clear and concise written and verbal communication.
• Exceptional analytical competency, attention to detail and problem-solving skills.
• The candidate must be highly self-motivated, with a desire to learn and continuously improve their own understanding and their contribution to the team’s goals.
• An interest in geopolitics, financial markets and trading.
• Strong in MS Excel. Programming skills such as SQL and python are preferred.

Education:

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

Key skills/competency:

• Market Risk Management
• Cross-Asset Portfolio Risk
• Trading Inventory Analysis
• Hedging Strategy Design
• Risk Appetite Framework
• Capital Allocation
• Quantitative Analysis
• FRTB Readiness
• Risk Monitoring Framework
• Financial Markets Expertise