VP, Portfolio Risk Manager

• Primary Location: United States,New York,New York
• Education: Bachelor's Degree
• Job Function: Risk Management
• Schedule: Full-time
• Shift: Day Job
• Employee Status: Regular
• Travel Time: No
• Job ID: 19026041

Description

About Citi

Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.

Citi's Mission and Value Proposition explains what we do and Citi Leadership Standards explain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients' and the public's trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.

Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.

Position Objective:

Trading Book Portfolio Management ("TBPM") is a specialized risk portfolio group that seeks to lead and coordinate risk mitigation activities within the ICG for the Trading Book portfolio, which represents the market risk for ICG globally. TBPM, is concentrating on key initiatives to enhance Citi's risk management discipline including, Business Specific Stress Testing (BSST), Top Ten Risks, risk return metrics and other framework to enhance the aggregation of risk and to improve risk capital measures for regulatory and economic purposes. The TBPM team addresses a variety of strategic stress test issues across the global ICG trading portfolio and provides a unique opportunity to gain a strong understanding of a diverse set of risk management techniques. The group offers a lean structure with the potential for significant senior management exposure and works closely with business line market risk managers throughout the organization globally.

Key Responsibilities:

To perform quantitative modeling and data management for the following processes, with a focus on risk associated with DSFTs.

• Design and review of scenarios for the Business Specific Stress Test (BSST) process, either idiosyncratic or correlated with the Global Systemic Stress Test (GSST)
• Top Risk identification, exposure monitoring, trend analysis, back-testing and ad-hoc scenario analysis
• Risk identification and scenario design for the semi-annual FRB Capital Analysis and Review (CCAR)
• Limit sizing through portfolio optimization targeting risk appetite ratio under the annual revenue budget and Volcker client demand constraints
• Contribution to development and enhancement of trading economic capital and business level allocation
• Management reporting including ad-hoc P&L and risk reward analyses
Development Value:

TBPM integrates all businesses under Trading Book and various portfolio metrics, which presents a broad spectrum of exposures. Stress scenario design, with the business specific aspect in particular, provides opportunities to study markets and products in the context of economic cycles and idiosyncratic events.

Qualifications


• An undergraduate or postgraduate degree in a quantitative discipline, preferably computer science
• Additional qualifications such as CFA level 1 or Financial Risk Management (FRM) desirable
Knowledge/Experience:

• Data analysis, statistics and programming
• Understanding of characteristics and risk measures of financial products
• A background in risk management or information technology would be an advantage
Skills:

• Outstanding computing and data management skills essential: especially in spreadsheet/VBA, programing language such as Python and SQL/database.
• Either working or book knowledge of risk management and financial products a strong plus
Competencies:

• Attention to details, quantitative and analytical skills
• Self-motivation and positive, hardworking attitude
• Sense of responsibility and high level of integrity
• Communication and interpersonal skills