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Counterparty Exposure In-Business Risk Analytics Associate (AVP)- Institutional Credit Management (ICM)

Job Req ID 22588959 Location(s) New York, New York; London, United Kingdom Job Category Risk Management
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Job Purpose:

Individual will work as part of Counterparty Exposure (CPE) team under the global Institutional Credit Management (ICM) group and be responsible for measuring, monitoring, and controlling counterparty risk for institutional clients. The role is focused on developing counterparty risk models and analyzing portfolios and businesses to ensure the risks are being properly measured and controlled in accordance with the Firm’s risk policies.

Job 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 credit analysis, documentation, risk identification, exposure monitoring and stress testing. 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.

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 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 control.

  • 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 market and/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, securitization products, SFT, ETD

  • 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

  • Some project management skills spanning risk and technology

  • Ability to work well with cross-functional teams (including Business, Credit, 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

Education:

  • Bachelor’s/University degree in mathematics, science, finance/economics, or a related field required

Competencies:

  • Strong analytical skills and problem-solving abilities

  • Excellent written and oral communication skills

  • Ability to work independently as well as in a team environment.

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Job Family Group:

Risk Management

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Job Family:

Business Risk & Controls

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Time Type:

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Primary Location:

New York New York United States

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Primary Location Salary Range:

$105,510.00 - $158,270.00

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Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

View the "EEO is the Law" poster. View the EEO is the Law Supplement.

View the EEO Policy Statement.

View the Pay Transparency Posting

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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.

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