Risk - Market Risk Reporting Senior Analyst - AVP (hybrid)

The Global Market Risk Reporting group are responsible for the production of management and regulatory reporting for various stakeholders, including Global Market Risk and Legal Entities with IMA permission for Market Risk. The Warsaw Legal Entity reporting team provides these services for Citi’s European legal entities as well as execution of IMA governance activities.

As a member of the Warsaw market risk reporting team, you will be responsible for analyzing the legal entity portfolios, providing insights on risk factor movements, and managing against the  firms risk appetite via the legal entity limits framework. You will bring a strong risk and controls mindset to your daily work and be able to think innovatively when solving problems.  In doing so, you will have the opportunity to further develop your knowledge of financial markets, traded market risk and the Citi’s strategic technology platforms.  

The position requires exceptional people with project management skills, a strong work ethic, solid market risk analytic skills, exceptional verbal and written communication skills, and the ability to troubleshoot and follow up on problems while working under a very tight daily production cycle.  

This position will give the individual exposure to:

• Manage and escalate the follow-ups to reconciliation discrepancies with feed support in a timely manner.
• Understanding of market risk factors that affect VaR, SVAR, IRC, CRM, Securitization, and Standard Specific Model Risk.
• Participate in risk committees about internal controls supporting Citi EMEA entities
• Understanding the relationship between VaR and the risk factors, volatilities, and correlations that go into the statistical calculation to the point where the VaR can be broken down, analyzed, and potentially corrected.
• Develop, leverage, and maintain relationships across varying levels of management and function to ensure a high degree of accuracy in Citi VaR & global market risk
• Deal with regulators and auditors to ensure compliance with policies and procedures

Job Responsibilities

• Utilize the appropriate tools and modern techniques to appropriately visualize the firms market risk exposure
• Deliver high quality management reporting to market risk senior management using tools to visualize risk within the entities and provide meaningful insights on the firms risk exposure
• Participate in the preparation of market risk inputs to EU & UK regulatory reporting e.g. COREP, Pillar disclosures and daily backtesting processes
• Develop an understanding of legal entity/portfolio risk management, financial products and their market risk exposure profiles
• Document evolving market risk reporting requirements and work with Risk IT to deliver data and content changes
• Identify data quality issues, record them in the firms data quality inventory and ensure they are resolved by collaborating with the central data quality remediation teams.

Required Qualifications / Skills:

• 3+ years experience working in Risk or Finance
• The ideal candidate will have a BS or BA in a related science discipline with a master or relevant financial qualification (FRM/CFA) being an advantage
• Good knowledge of market risk metrics and financial products
• Excellent analytical, problem solving, and troubleshooting skills are a must
• Superior people, project management & communication skills
• An appreciation of market risk regulatory risk based capital rules for the ECB, FED or PRA
• Knowledge of a suitable data science tools, big data platforms and Python would be an advantage.
• A good understanding of data manipulation techniques using industry standard data pipeline tools will be advantageous
• Experience with visualization tools such as Power BI, Tableau etc. will be highly desirable
• Advanced user of Microsoft Office 365 (Excel, PowerPoint, Access & SharePoint)

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

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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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