Citi Group Spread Products In-Business Risk Officer - Vice President New York 

United States, New York, New York 

980677024

Responsibilities:

• Work closely with SP trading desks and Independent Risk to identify, monitor and manage market risk and capital, with focus on Mortgage Backed/Asset Backed products
• Identify key market risk within trading inventory with consideration of key market themes and environments through data analysis. Help design appropriate hedging strategy as needed.
• Closely track performances of products 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.
• Build front to back holistic understanding of risk and its implications on all attributions of capital, such as Stress losses, Value-at-Risk, etc. Support SP business heads to analyze their return on capital and risk appetite ratio.
• Work with partners in Independent Risk (2nd Line of Defense), Finance and Technology to manage regulatory capital related deliverables for SP
• Work with Quantitative Analytics, Technology teams and other stakeholders to enhance existing pricing and risk models, automate manual processes and improve existing risk and capital infrastructure
• Work closely with Independent Risk in sizing appropriate risk limits for the overall business and monitor risk limit utilizations across businesses
• Strengthen risk monitoring, control, and governance process within the business

Qualifications:

• 3-5 year of Market risk / trading analyst experience in Mortgage Backed/Asset Backed products, with good understanding of the products and their behavior in different market conditions
• Candidate should have good understanding of various models (stress, prepayment etc) and securitization structure, to be able to work with quant and risk teams on various issues/projects
• Some familiarity with both Basel 2.5 and FRTB rules
• Strong ability and interest to learn and understand new products
• Strong ability to manage, prioritize, and communicate with internal partners, highest level of professionalism and business acumen
• Very strong creative problem-solving skills, ability to understand complex ideas and projects, strong ability to identify, articulate issues and advocate solutions at both high and granular levels
• Ability to work in a dynamic environment under tight deadlines with changing priorities
• Fluency in MS Excel, VBA, and basic programming skills (e.g, python) is preferred.
• Strong attention to detail; self-motivated and inquisitive with an interest in financial markets

Education:

• Bachelor’s/University degree or equivalent experience, potentially Masters degree

Anticipated Posting Close Date:

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