1+ months

Institutional Credit Management (ICM) - Counterparty Exposure, Market & Credit Risk - VP / AVP

New York, NY 10176
**Job Purpose:**

Individual will work as part of Counterparty Exposure (CPE) team under the global Institutional Credit Management (ICM) group and be responsible for measuring, monitoring, and controlling counterparty risk for institutional clients. The role is focused on developing counterparty risk models and analyzing portfolios and businesses to ensure the risks are being properly measured and controlled in accordance with the Firms risk policies.

**Job Background/Context:**

Institutional Credit Management (ICM) is a critical component of Citis First Line of defense for wholesale and counterparty credit risk management and works with Independent Risk teams to ensure best-in-class risk and controls, as well as client responsiveness. Key responsibilities of the group include credit analysis, documentation, risk identification, exposure monitoring, and stress testing. ICM coordinates with credit management groups across ICG businesses to ensure full alignment on business and regulatory goals, as well as consistency and best practices where appropriate.

**Key Responsibilities:**

+ Develop and enhance tools for the measurement, monitoring, and management of counterparty exposure including PFE, risk capital, wrong way risk, and stress testing

+ Actively liaise with sales & trading, CVA, and market risk managers to ensure comprehensive coverage of counterparty and liquidity risk measures across all derivatives and financing products

+ Closely work with Quantitative risk and Markets analytics teams, Technology, and Model Validation groups on CCR model development and evolution of CCR models to address new products or risk areas

+ Work with business managers and In-Business Risk teams on margin model development, new product approvals, and real-time monitoring and controls

+ Monitor client portfolios to ensure that risks are controlled - primarily credit risk arising from market sensitive exposure and liquidity risk, but also documentation, legal, and reputational risks

+ Perform daily and weekly risk analysis and reporting on existing client portfolios as well as customized risk analysis on new client portfolios

+ Communicate key findings to senior management and act as the chair for CCR and in-business risk forums as appropriate

+ Put together presentations and documents for internal and external use on various topics including functions of the Risk Group, stress methodologies, and risk issues

+ Analyzing control environment including periodic review of the control environment, vetting of new systems, processes, policies, and procedures related to market and/or credit risk

**Developmental Value:**

+ The team is new giving opportunity to expand the role as the function grows

+ Learn about risk management and Financing products more broadly

+ Influence the strategic direction of the Bank from a risk management perspective

+ Build solid market/credit risk experience as we use cutting-edge risk models and techniques

**Preferred Knowledge and Experience** :

+ Experience with managing market or credit risk

+ Understanding of multiples asset classes including rates, equities, foreign exchange, credit, and commodities

+ Demonstrated knowledge of, or experience with fixed income risk & analytics, including IR SWAPs and Derivatives


+ Strong analytical skills with good attention to detail and a demonstrated aptitude for tackling analytical issues through quantitative modelling and assimilation of data into a working product

+ Large scale project management skills spanning risk and technology

+ Ability to work well with cross-functional teams from Business, Credit, Operations, and Compliance

+ Strong written and verbal communication skills

+ Sound risk and business judgment

+ Stress testing skills and instrument modelling skills desirable

+ Strong Excel skills ideally incorporating VBA (Visual Basic for Applications)

+ Programming skills in Python, R or other statistical languages is a plus


+ Bachelors degree in mathematics, science, finance, economics, or a related field required


+ Good communicator

+ Entrepreneurial

+ Strong analytical skills

+ Strong problem-solving abilities

+ Excellent written and oral communication skills

+ Ability to work independently as well as in a team environment

Information posted is based on VP level, will also consider AVP level candidates.


**Job Family Group:**

Risk Management


**Job Family:**

Business Risk & Controls


**Time Type:**

Full time


**Primary Location:**

New York New York United States


**Primary Location Salary Range:**

$125,540.00 - $188,310.00


Citi is an equal opportunity and affirmative action employer.

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.

Citigroup Inc. and its subsidiaries ("Citi) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review **Accessibility at Citi (https://www.citigroup.com/citi/accessibility/application-accessibility.htm)** .

View the "EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) " poster. View the EEO is the Law Supplement (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/OFCCP\_EEO\_Supplement\_Final\_JRF\_QA\_508c.pdf) .

View the EEO Policy Statement (http://citi.com/citi/diversity/assets/pdf/eeo\_aa\_policy.pdf) .

View the Pay Transparency Posting (https://www.dol.gov/sites/dolgov/files/ofccp/pdf/pay-transp\_%20English\_formattedESQA508c.pdf)
Citi is an equal opportunity and affirmative action employer.

Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.


Posted: 2023-03-10 Expires: 2023-06-12

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Institutional Credit Management (ICM) - Counterparty Exposure, Market & Credit Risk - VP / AVP

New York, NY 10176

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