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Form of workJob Background/Context:
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 include stress testing, exposure monitoring, risk identification, credit analysis, and documentation. ICM coordinates with credit management groups across ICG businesses to ensure full alignment on business and regulatory goals, as well as consistency and best practices where appropriate.
Key Responsibilities:
- Develop and enhance tools for the measurement, monitoring, and management of Counterparty Exposure including PFE, stress testing, risk capital, and wrong way risk
- Actively liaise 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 real-time 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 functions of the Risk Group, stress methodologies, and risk issues
- Analyzing control environment including periodic review of the control environment, vetting of new systems, processes, policies, and procedures related to market and/or credit risk
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
Preferred Knowledge and Experience:
- 6 or more years of related experience
- Experience with managing market and/or credit risk
- 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
- Ability to work well with cross-functional teams from Business, Credit, Operations, and Compliance
- Strong written and verbal communication skills
- Sound risk and business judgment
- Stress testing skills and 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
Education:
- Bachelor's/University degree in mathematics, science, finance, economics, or a related field required
Competencies:
- Excellent written and oral communication skills
- Entrepreneurial, able to solve issues independently
- Strong analytical skills
- Strong problem-solving abilities
- Ability to work independently as well as in a team environment
