• Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Citi-US
  • 2019-04-21

Market Risk Manager - US Interest Rate Trading

Market Risk Manager - US Interest Rate Trading

  • Primary Location: United States,New York,New York
  • Education: Bachelor's Degree
  • Job Function: Risk Management
  • Schedule: Full-time
  • Shift: Day Job
  • Employee Status: Regular
  • Travel Time: No
  • Job ID: 19015696


Description

About Citi
Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.

Citi's Mission and Value Proposition  explains what we do and Citi Leadership Standards explain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients' and the public's trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.

Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.

Overview
The G10 Rates and FX team within the Market Risk Management group is responsible for the oversight of these businesses.   This role is for a Risk Manager, located in NYC to join an existing team focused on the market risks associated with the North America Rates Trading business.
The NA Rates Trading business is a significant business providing interest rate market-making and solutions to customers as part of the Global G10 Rates franchise.
The successful candidate must be able to build effective relationships with front office and other groups as well as risk colleagues, challenge assumptions, be comfortable with quantitatively complex issues, willing to work at the detailed level and be a producer of high quality and insightful output.  
It is vital that the candidate should have and develop further a very good technical knowledge of interest rate products as well as market risk approaches.
Over time there may be scope to expand to cover other aspects of the NA business within Global Rates & FX.

Main Activities
  • Work with existing team members to be accountable for the identification and evaluation of market risks generated by the NA Rates business.  Identification of 'top risks' and outlier stress events.  Working on and performing ad-hoc scenarios.
  • Communication with trading desks.
  • Candidate must be very comfortable discussing products and their risks and building spreadsheets to analyse risk and market data, portfolio risks and individual trades.
  • Working with others to ensure that the reported exposures are correct and cover the main drivers of risk and potential p/l; identification and resolution of any data issues.
  • Ensuring limits are properly set and monitored accurately. Contribute to the development or production of metrics used to satisfy regulatory requirements and stress testing processes.
  • Periodic preparation of presentation materials for senior management or for internal discussions.  Ability to speak as needed on market events.
  • Review and validate assumptions in accrual risk models used by underlying business unit(s) and analyse the impact of model changes.
  • Work closely with Financial Control, Price Verification and the Model Risk groups within the organization to ensure that the proper controls are in place.
  • Help with reviews of new business proposals including risk limits setting and monitoring and ensuring risks can be fully captured within the firm's systems.
  • Contribute to the resolution of regulatory tasks and MRAs.
  • Help to monitor and establish controls around legal entity level risks.


Qualifications

  • 4yrs+ of relevant experience in the rates markets with good knowledge of the markets, products and risk.  Good quantitative level of experience with rate products and their risks.
  • Experience with portfolio risk measurement techniques including VAR and stress testing.
  • Strong relationship management and liaison with business people of all levels.  But must be willing to challenge as needed, particularly front office.
  • Must be dedicated to information integrity and to producing high quality and insightful output and hitting deadlines where applicable.   Must be prepared to go into as much detail as is required to resolve issues.  Must be capable of working very productively using time very efficiently.
  • Good presentation and communication skills.
  • At least Bachelor level degree, Masters or PhD can be useful.   Familiarity with financial or statistical modelling is beneficial.
  • Strong experience and facility with Excel including VBA and add-in functions, ideally with experience of using financial pricing functions.