VP – Market Risk Officer

Opening is for a Market Risk Officer focused on North America NAM G10 Linear Rates desk. Successful candidate would join an existing team based in NYC focused on the market risks associated with the North America Rates Trading business. The North America Rates Trading business is a significant component of a global markets franchise providing interest rate market-making and solutions to customers. 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 already possesses, and demonstrates potential to develop further, good technical knowledge of interest rate products as well as market risk approaches.

Responsibilities:

• Work with existing team members to be accountable for the identification and evaluation of market risks generated by the NA Rates business.  Identification of ‘top risks’ and outlier stress events.  Working on and performing ad-hoc scenarios.
• Communication with trading desks.
• Ensure limits are properly set and monitored accurately. Working with others to ensure that the reported exposures are correct and cover the main drivers of risk and potential p/l
• Identify and resolve data issues.
• Contribute toward production of metrics used to satisfy regulatory requirements and stress testing processes.
• Prepare presentation materials for senior management. 
• Work closely with Financial/Valuation Controllers and Quant groups to ensure that the proper controls are in place.
• Contribute to reviews of new business proposals including risk limits setting and monitoring and ensuring risks can be fully captured within the firm’s systems.
• Help to resolve regulatory tasks and MRAs.
• Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.

Qualifications:

• 5+ years of relevant experience with good knowledge of the rates markets, products and risk. Experience with Agency MBS a strong plus.  
• Comfortable analyzing and discussing products, portfolio risks, market data and individual trades.
• Good presentation and communication skills. Ability to speak as needed on market and risk events.
• Experience with portfolio risk measurement techniques including VAR and stress testing.
• Strong relationship management and experience liaising with business partners of all levels. Must be willing to provide challenge as needed.
• Prepared to go into as much detail as is required to resolve issues. 
• Strong experience with Excel including VBA, experience with Python, and SQL is a plus.
• Dedicated to information integrity and to producing high quality and insightful output and meeting deadlines.  
• Familiarity with financial or statistical modelling is beneficial.

Education:

• Bachelor level degree is required.  
• Advanced studies in a quantitative or financial discipline can be useful.

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

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Job Family:

Market Risk

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Time Type:

Full time

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Primary Location:

New York New York United States

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Primary Location Full Time Salary Range:

$142,320.00 - $213,480.00

In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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Anticipated Posting Close Date:

Mar 26, 2025

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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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