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The Derivative and security financing transaction (DSFT) market risk manager for fixed income portfolio provides independent risk oversight of Citi's DSFT portfolio, including repo, security lending, margin loans, loan TRS, other fixed income security TRS, structured TRS transactions within ICG.
Work with product risk managers and trading desks to ensure that all relevant market risk factors are properly identified and formally captured in official risk systems
Develop market liquidation framework, produce and analyze market liquidation metrics for trading book and DSFT. Oversee market liquidation monitoring processes and present to liquidity working group of general market liquidity condition, transaction and collateral level liquidity metrics
Working with convergence risk, financial resource management and external vendor on framework and technology solution for enhancement of DSFT historical trending liquidity metrics. Use history time series and develop liquidity models for DSFT collaterals and further trading book
Develop and maintain an appropriate independent risk appetite and limit framework with applicable limits and triggers, and independently monitor business compliance with the firm's market risk-related policies. Oversee risk exposure measurement and limit monitoring processes to ensure integrity and appropriate independence of reporting
Assist in developing stress test, gap risk and risk capital for DSFT with quantitative, risk capital and stress test group, define principles for gap risk framework for correlated recourse transactions and non-recourse transactions
Prepare presentation and management information deck, communicate key market, product, and risk intelligence to seniors and management
Lead three pillars of DSFT risk framework, comprehensive reporting utilizing PPL for market risk and market liquidation risk, DSFT risk approval framework and portfolio metrics monitoring and analysis, and impact of risk capital and regulatory capital
Working with product risk manager, credit risk and convergence risk in DSFT trade approval focusing in analyzing market liquidation risk ex ante
Actively participate in the ongoing development, implementation and upgrade of DSFT risk systems and reporting platform
Small BAU tasks/projects which constitute direct integration with trading businesses and market in general, a fantastic learning opportunity for fixed income security and financing structures
Well defined mid to long term projects in working with senior mentors that require technical skills and strategic planning, enabling development in analytical capacity and critical thinking
By being exposed to the wide-range of security based or structured derivative financing transactions and industry landscape , the role will enable the successful candidate to get a deeper understanding of the markets in which these products operate while at the same time gaining direct exposure to traders, research, Finance and Technology in addition to many other areas of Risk Management.
As a quantitative discipline sitting close to the market and in the middle of credit and market risk areas with highly technical assignment, our group provides fundamental and direct opportunities to enable risk analyst in developing skills required in credit, quantitative, reporting and project management.
Candidate should be a self-starter, analytical inclined, proficient and extremely comfortable in VBA, Excel and other related systems, be able to generate analysis in using system independently and with help of risk reporting team, be able to solve complex problem in a consistent as well as pragmatic way. Be able to assess real time risk associated complex transactions.
Knowledge, skills and experience required:
Natural curiosity, intellectual capacity
Good communicator, proficiency in PPT
Good in excel/VB, technical confident
Attention to detail and strong analytical skills
Sound computing skills essential, prior programming and/or database management experience a plus
Ability to transform complex topic into impactful stories using presentation
Advanced interpersonal and communication skills given the need for frequent interaction with senior management across both business and control functions
An master degree in a quantitative or financial discipline.
Readiness to use initiative with limited supervision
Ability to work well in groups and flexibility in addressing a number of projects simultaneously
Willingness to resolve conflicts and work well under pressure
Ability to evaluate both strategic and tactical issues related to the business.
Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.
Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organisational success.
Citi is an Equal Opportunities Employer
Internal Number: 5901412
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