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Citi Group ICM Counterparty Exposure Management Analytics Assistant Vice President 
United States, New York, New York 
523764990

20.09.2024

Institutional Credit Management (ICM) is a critical component of Citi’s First Line of defense for wholesale and counterparty credit risk management and works with Independent Risk teams to ensure best-in-class risk and controls, as well as client responsiveness. Key responsibilities of the group includestress testing,credit analysisrisk identification, exposure monitoring and

Counterparty Exposure (CPE) is a global team within ICM responsible for measuring, monitoring and controlling counterparty risk. To fulfill this role, a risk professional is required who has 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 counterparty exposure including PFE, risk capital, wrong way risk and stress testing.
  • Actively liase with sales trading, CVA and market risk managers to ensure comprehensive coverage of counterparty and liquidity risk measures across all derivatives and financing products.
  • Closely work with Quantitative risk and Markets analytics teams, Technology and Model Validation groups on CCR model development and evolution of CCR models to address new products or risk areas.
  • Work with business managers and In-Business Risk teams on margin model development, new product approvals and realtime 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 daily and weekly risk analysis and reporting on existing client portfolios as well as customized risk analysis on new client portfolios.
  • Communicate key findings to senior management and act as the chair for CCR and in-business risk forums as appropriate.
  • Put together presentations and documents for internal and external use on various topics including describing the functions of the Risk Group, stress methodologies, and summarizing risk issues.
  • Analyzing control environment including periodic review of the control environment, vetting of new systems, processes, policies and procedures associated and related to market and/or credit risk and ensuring they are in sync with market practices.

Developmental Value:

  • The team is new giving opportunity to expand the role as the function grows.
  • Learn about risk management and Financing products more broadly.
  • Influence the strategic direction of the Bank from a risk management perspective.
  • Build solid market/credit Risk experience as we use cutting-edge risk models and techniques.

Required Knowledge and Experience:

  • Experience with managing market or credit risk OR training in finance, mathematics or quantitative fields
  • Relevant market risk experience across multiples asset classes including rates, equities, credit and commodities
  • Experience in working on large scale risk technology projects and/or model development

Skills:

  • Strong analytical skills with good attention to detail and a demonstrated aptitude for tackling analytical issues through quantitative modelling and assimilation of data into a working product
  • Large scale project management skills spanning risk and technology

Operations and Compliance:

  • Strong written and verbal communication skills
  • Sound risk and business judgment
  • Stress testing skills essential, instrument modelling skills desirable.
  • Strong Excel skills ideally incorporating VBA (Visual Basic for Applications)
  • Programming skills in Python, R or other statistical languages is a plus

Qualifications:

  • 3 years plus years of relevant experience
  • Knowledge of commercial risk analytics
  • Ability to apply credit and risk principles toward business goals
  • Demonstrated ability to synthesize, prioritize and drive results with a sense of urgency
  • Proven ability to remain organized in a fast-paced environment, managing multiple projects
  • Proven interpersonal, organizational and analytic skills

Education:

  • Bachelor's degree/University degree or equivalent experience
Risk ManagementCredit & Portfolio Risk Management

Full timeNew York New York United States$109,120.00 - $163,680.00



Anticipated Posting Close Date:

Sep 24, 2024

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