Citi Group ICM Counterparty Exposure Management Analytics Assistant Vice President 

United States, New York, New York 

523764990

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

Anticipated Posting Close Date:

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