Market Risk and Capital Usage Modeling Lead

1 week ago


New York, New York, United States Citigroup Full time
Job Title: Market Risk and Capital Usage Modeling Lead

Citigroup is seeking a highly skilled Market Risk and Capital Usage Modeling Lead to join our team. As a key member of our Global Markets division, you will be responsible for leading efforts on Stress Testing and Market Risk Capital usage modeling within Markets.

Key Responsibilities:
  • Understand firm's overall risk appetite and capital framework to allow effective optimization and allocation of risk appetite
  • Understand current methodologies/models and processes for Stress Scenarios/CCAR/RWA/VAR/FRTB workstreams impacting TCE usage for the business
  • Be the point person and partner with Desks/Quants/Market Risk/Technology and other relevant teams to propose and drive any relevant improvements to the current methodologies
  • Understand the underlying data and time series used in various models and lead FO efforts to vet these
  • Build Front Office/shadow version/alternate benchmark models across product areas for use in validation, enabling what-if analysis for RWA and other capital metrics and for underlying sensitivities & attribution analysis
  • Identify and monitor systemic and idiosyncratic risks across businesses and identify any rising material risk events
  • Closely track performances of products within Markets on a regular basis, understand the drivers of market movements across different asset classes, analyze notable trends to form relative value and forward-looking view of material risks
  • Coordinate with business heads and technology team to develop a robust and comprehensive risk monitoring framework that allows the business to manage the overall risk positions in real time
Requirements:
  • Graduate degree in Finance, Economics or another quantitative field (Mathematics, Computer Science, Physics, etc.) is required
  • 10+ years of experience in either sell-side or buy-side Risk Modelling, Research, Macro/Cross-Asset Trading or relevant academic research
  • Experience in developing comprehensive risk management frameworks and some familiarity with relevant regulatory guidance across risk stripes
  • Strong understanding of Historical VAR and FRTB
  • Knowledge of Equity products or equity trading background will be a great plus
  • Strong business process / analytical design skills and experience
  • Proven track record of managing teams/attracting talent and organizational leadership
  • Results oriented, pro-active and decision maker
  • Excellent interpersonal and communication skills with proven people management skills to support and further develop the team


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