This role will form part of the Equity Global Market Risk team for the oversight of the Equity trading activities on the CEP legal entity based in Paris. The role will report into the Head of EMEA Equities Risk Management.
The key aspects for the role include primary responsibility for the day to day risk management of the Equity trading desks on CEP (Cash, Derivs, Delta One). The candidates should be able to analyse and assess the risks inherent in the portfolio and to discuss with the trading desk, risk seniors, other control functions and external regulators the types of transactions transacted across the desk and their risk dynamics.
The candidates must be able to partner with the Business to help to bring a greater understanding and clarity to the main risks been taken by the trading desk, as well as Risk Based PAA analysis and FRTB regulations (VaR calculated on New Historical, full revaluation simulation), in addition to ensuring that risks are being properly measured and controlled in line with the firm's risk policies.
This role will provide unique visibility, cross-functional and cross-Risk experience and knowledge. The position involves a significant amount of interaction with senior management and direct involvement in a variety of the critical strategic projects within Citi. The role will provide a strong understanding of the regulatory environment, the respective businesses and Risk governance.
Key Responsibilities: - Oversee and monitor the Equity risk on CEP (Greeks, dividends, correlation, borrow etc.).
- Be at the forefront in our communications with the local regulators on matters relating to Equities.
- Keeping abreast of regulatory changes, new regulations and internal policy changes.
- Monitor exposures under the CEP limit framework to ensure adherence to the Volcker Rule and market risk policies.
- Update and enhance the limit framework as the relevant risks of the portfolio evolve over time.
- Monitor, review, and discuss with the relevant FO personnel the types of transactions traded across the desk, as part of Pre-Trade approval framework.
- Analyse complex and structured transactions, review the models to which these trades are booked to, and have an understanding what drives the derivative trading strategies for these products (which can involve highly complex relative performance and path dependency) and the resulting effect in the overall risk profile of the business.
- Review the various Volcker metrics of the portfolio and ensure accuracy for each Volcker submission.
- Design and implement stress testing scenarios as part of on-going risk management.
- Compile, review and understand the results of the various regulatory stress tests (CCAR, ICAAP, etc.)
- Develop and implement any enhancements to new and existing tools and processes as part of proactive risk management.
- Collaborate and partner with finance to ensure robust oversight governance
Qualifications: - Degree in a Quantitative or Financial discipline
- Good and sound understanding of markets and Market Risk Management (strong preference for prior Equities experience).
- Good attention to detail and very strong analytical background as the trading portfolio includes complex structures.
- Previous experience as a trader or risk manager is preferred (in particular Equities experience).
- Knowledge of VaR, its applications and limitations.
- Understanding of Citi's business model and/or other financial institutions
- Exceptional writing skills, with ability to synthesize complex concepts, translate into "user-friendly" language, and effectively present in text or slide format
- Strong organisational skills and the ability to multi-task effectively in a high-volume and complex environment with changing priorities
- Strong quantitative skills, particularly around statistics and strong attention to detail
- Programming skills - familiarity with Python (or similar language) a must
- Business Intelligence tools: Tableau, PowerBI
Education: - Bachelor's/University degree, Master's degree preferred
This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.
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Job Family Group:
Risk Management -------------------------------------------------
Job Family:
Market Risk ------------------------------------------------------
Time Type:
Full time ------------------------------------------------------
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