Secured Counterparty Exposure Team, Quantitative Market Risk Analyst, AVP

Located on the Trading Floor, Citi’s Secured Counterparty Exposure team structures umbrella trading-programs for clients, optimizing risk vs profitability.  Accordingly, the group increases Citi’s fee-based revenue and market-making execution.  Employing risk-based solutions across asset classes; the desk aims to increase Citi’s profitability while managing the firm’s risk in times of market volatility and stress.  Key responsibilities of the group include risk analysis, risk identification, exposure monitoring and stress testing.

Based in New York the individual will interact with clients and internal stakeholders to provide customized solution to optimize their portfolios from a revenue, risk and regulatory perspective. The role requires candidates to have strong background in risk, finance and knowledge of derivatives products, as well as the ability to articulate complex ideas to management and clients.

Core Responsibilities:

• Monitor and assist in the design of portfolio risk management solutions to meet clients’ objectives

• Monitor client exposures and communicate to internal trading desks, Credit Risk and external clients

• Estimate initial margin requirement using Standard Initial Margin Model (SIMM) on trade proposals

• Liaise with quant and technology teams to investigate initial margin model backtesting results and explain model outcomes

• Work with external vendors to optimize initial margin exposure

• Utilize risk management tools for the measurement, monitoring and management of exposure

• Develop processes to streamline data and risk analysis tasks

• Compile presentations and documentation for internal or external use on various relative topics

Qualifications:

• 5+ years experience in a related position

• Experience in empirical data analysis, risk modelling and stress testing

• Familiar with foreign exchange, interest rate and credit derivatives.  Knowledge of structured products is a plus

• Familiar with risk concepts (such as VaR, risk sensitivities) and ability to identify relevant risk drivers

• Ability to work in a cross functional team and to work well under pressure

Skills/Competencies:

• Strong written and verbal communication skills

• Programming skills in Python and VBA

• Strong analytical skills and familiarity with statistical tools and methods

• Working knowledge of SQL and database queries

• Experience in risk management and stress testing

• Excellent attention to detail

• Sound risk and business judgement

• Experience in Tableau is a plus

Education:

• Bachelor’s/University degree or equivalent experience required

• Degree in Mathematics, Physics, Engineering or Financial Engineering (highly preferred)

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