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Form of workThe role will be part of the Rates and Currencies Market Risk team within the Market Risk Management group which is responsible for oversight of these businesses and of FX Prime Brokerage. This role is for a Risk Manager, located in London to join the team focused on the Market Risks associated with the FX businesses including FX Trading and FX Prime Brokerage.
The Global FX business is a significant business covering all standard FX products including Options & exotic derivatives, model based trading as well as standard vanilla products within the Global Rates and Currencies franchise. Citi's FX Prime Brokerage business is a leading FXPB business across the industry. The FXPB business provides clients access to a breadth of spot, forward, swap and options instruments and exotic derivatives.
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 has good technical knowledge of derivates. The candidate should be willing to further develop their knowledge of the business and of Market Risk approaches.
Role Responsibilities:
Work with existing team members to be accountable for the identification and evaluation of Market Risks generated by the Global FX business (with a focus on the Options business) and FX Prime Brokerage. 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 products and their risks and building spreadsheets / other analysis tools to analyse 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 presentation materials for senior management or for internal discussions. Ability to speak as needed on market events.
Review and validate assumptions in risk models used by underlying business unit(s) and analyse the impact of model changes.
Work closely with Financial Control, Price Verification and the Model Risk 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.
Contribute to the resolution of regulatory tasks and MRAs.
Help to monitor and establish controls around legal entity level risks.
Experience / Competencies:
Relevant experience in the FX and/or Rates markets with good knowledge of the markets, products and risk.
Good quantitative level of experience with derivative products pricing and risk.
Experience with portfolio risk measurement techniques including VAR and stress testing.
Strong relationship management and liaison with business people of all levels while being willing and able to challenge as needed, particularly the front office.
Dedication to information integrity and to producing high quality and insightful output required.
Good presentation and communication skills both in writing and verbal.
Expert experience and facility with Excel including VBA and add-in functions, ideally with experience of using financial pricing functions.
#LI-JD2
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Job Family Group:
Risk Management-------------------------------------------------
Job Family:
Market Risk------------------------------------------------------
Time Type:
Full time------------------------------------------------------
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