SVP, Market Risk - G10 Rates North America Non-Linear Trading (Hybrid)

The Global Rates Team within the Market Risk Management group is responsible for the oversight of this business. This role is for a Risk Manager, located in New York, to join an existing team focused on the market risks associated with the G10 Rates Trading business in the region and cover the Non-Linear side.

The G10 NAM Rates Trading business is a significant business providing interest rate market-making and solutions to customers as part of the Global Rates franchise covering a wide-ranging set of products from Sovereign bonds to exotics. The Non-Linear business trades inflation products, vanilla interest rate options, exotic products and bond derivatives (TRSs, Bond Forwards).

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 business within Global Rates.

Role Responsibilities:

• Be accountable for the identification and evaluation of market risks generated by the G10 NAM Rates Non-Linear 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 non-linear products and their risks and building spreadsheets to analyze 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 information material and presentation to senior management and regulators. Ability to speak as needed on market events.

• Review and validate assumptions in risk models used by underlying business units and analyze the impact of model changes.

• Work closely with Financial Control, Price Verification and the Model Validation 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.

Experience / Competencies:

• Proven, relevant experience in rates non-linear 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.

• 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. Python and/or Business Intelligence experience not required, but useful.

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In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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