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SVP, Concentration Risk Management Analytics (Market Risk) - C14

Job Req ID 22532908 Primary Location New York, New York; Irving, Texas; Tampa, Florida Job Category Risk Management
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The Enterprise Concentration Risk Management (ECRM) Analytics SVP role is a management-level position responsible for establishing and maintaining key analytics functions within ECRM. The role entails reviewing existing and emerging concentration risks, material trends and risk drivers to augment existing ECRM metrics. The objective of this role is to provide ECRM oversight of the analytics used to identify, quantify, and manage concentration risks that arise from Citi’s broad business footprint, particularly concentration risks that cross businesses and risk types.

Responsibilities:

  • Collaborate with Market Risk Subject Matter Experts from business, risk management, Stress Testing, risk reporting and risk governance teams to establish enhanced risk analytics platforms for enterprise level concentration risk management to address regulatory and risk management requests.
  • Review, understand and challenge existing and newly developed analytical methodologies within the context of enterprise concentration risk management function.  Design and develop appropriate tests and scenarios ultimately used to identify, quantify, and manage Market Risk related concentrations within Citi.
  • Evaluate existing and newly developed analytical tools in the context of enterprise level concentration risk management. Coordinate the reporting and technology implementations of incremental concentration risk metrics, and related governance configurations.
  • Work with methodology owners and relevant stakeholders on the interpretations of outcomes from enterprise stress testing and perform concentration risk analytics for the understanding of fundamental risk drivers as well as cross-pool correlations.
  • Lead robust independent review and challenge of stress testing framework of Citi’s Market Risk Pools and assess the linkages between stress testing and Risk Pools’ BAU risk management actions. 

Qualifications:

  • 6-10 years of experience in the financial services industry
  • Solid understanding of key Trading products, factor sensitivity and other key metrics (e.g., VaR, Stress VaR), Market Risk Stress Testing methodology and model validation
  • Proven portfolio management skills including limit monitoring, risk appetite, with good understanding of regulatory requirements
  • In depth understanding of technology infrastructure and reporting framework, for the implementation of analytical solutions
  • Proven ability to develop project plans to achieve milestones and deadlines. Adept at building relationships with key stakeholders and influencing and negotiating to drive changes
  • Excellent proficiency in Microsoft Office.  Strong written and verbal communication skills and ability to translate complex materials for a variety of internal audiences
  • Previous experience with C/C++, Python, R and/or other statistical/programming languages is a plus

Education:

Bachelor’s degree in a quantitative discipline required (e.g., Economics, Math, Physics, Statistics) with a Master’s/PhD degree in a quantitative discipline preferred.

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Job Family Group:

Risk Management

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Job Family:

Credit & Portfolio Risk Management

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Time Type:

Full time

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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.

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View the EEO Policy Statement.

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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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