Citi Group Spread Product Market Risk Manager Senior Vice President 

France, Ile-de-France, Paris 

398057731

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in analysis, problem solving and communication to Citi’s Risk Management function. By Joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

As part of the implementation of Citi’s transformation of Citigroup Markets Europe (CGME) into an investment firm in Germany and as part of Citi’s Brexit strategy, this role is required to strengthen market risk management. The role will involve working closely with traders. This roles focus will be on the implementation and management of a regulatory-compliant and robust market risk framework for the entity and meeting the needs of local regulators. Among other things, the role will be responsible for monitoring, reporting and escalating market risk to internal and external stakeholders and has to ensure that CGME complies with appropriate Citi policies and procedures, industry best market risk management practices, and regulatory requirements at all times.

What you’ll do

• Day to day responsibility for market risk management of the Spread products risk exposures.

• Actively engaging with the traders/business to ensure proper governance over CGME’s market risk exposures.

• Assist with the market risk of European Banking Authority stress testing which aligns with internal and regulatory reporting for spread products.

• Assist in the preparation of regulatory or legal entity governance projects drawing in appropriate regional/global risk resources as required.

• Support CGME’s Market Risk team in evaluating legal vehicle market risk controls and framework for spread product business or strategic initiatives.

• Review CGME legal vehicle market risk positions in the context of limits, mandates and permitted product lists.

• Escalate any issues, with appropriate suggested mitigations, to CGME Head of Market Risk and Head of UK/ Europe Cluster without delay.

• Assist with delivery of market risk reports/commentary to Risk Committees, regulators, and Senior Management and in ensuring that market risk component of relevant audits, inspections and reviews are completed successfully.

• Establishing, ongoing evaluation and monitoring of market risk limits and coordination of appropriate actions related to limit exceptions or breaches.

• Oversee risk exposure measurement and limit monitoring processes to ensure integrity and reporting efficiencies and ensure adherence to Citi’s market risk policies and regulatory requirements.

• Autonomously monitor business compliance with the firm’s market risk-related policies.

• Analyse standard loss measures, risk return metrics, and the risk appetite framework.

• Economic and regulatory risk capital concepts and analyse major drivers.

• Participate in the methodology setting for Value at Risk (VaR) and review inputs/outputs of VaR as well as Profit & Loss back testing.

• Monitor financial markets and understand its implications to market risk exposure and the firm.

• Economic and regulatory risk capital concepts and analyse major drivers.

• Consider market risk approval for new model validations and well as existing model revalidations. Participate in the ongoing development, implementation and upgrade of risk systems and processes, including stress testing, VaR, incremental risk charge/incremental default loss default measures, CitiRisk, and Limit Central.

• Participate in Spread products business meetings, or any other business related forums for CGME.

What we’ll need from you

• Bachelor’s/University degree, Post-graduate education in Economic, Finance, Financial Risk Management, or other quantitative discipline preferred.

• Spread Product knowledge is an asset.

• Fluent in written and spoken English, French desirable.

• Proficient in MS Office applications (Excel/VBA, Word, Power Point) and SQL.

• Programming and/or database management experience.

• Interaction with auditors / regulators and understanding of applicable best practice guidelines and regulations.

• Up-to-date working knowledge of regulatory requirements and change, specifically those from Basel and European regulatory authorities (desirable).

• Advanced analytical skills.

• Knowledge of financial instruments and risk metrics. Quantitative skills including mathematics involved in risk estimation and modelling.

• Ability to work both autonomously and collaboratively with people at all levels of the organisation; ability to navigate a complex organisation.

• Strong interpersonal and communications skills (written / verbal) at all organisational levels.

• Excellent teamwork and project management skills.

Time Type:

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