In Business Risk Quant Strat, Director

The Global Markets In-Business Risk (IBR) is a Front Office 1st Line of Defense team responsible for market risk across asset classes within Citi’s Global Markets division. The team aims to establish a holistic understanding of market risk and capital of the aggregated trading portfolio, as well as to optimize the business’s return on capital. Global Markets IBR covers all trading businesses globally such as Rates and Currencies, Global Spread Products, Commodities, and Global Equities.

The main focus of this role is a coverage of a cross-asset portfolio risks arising from markets business/trading activities.

Key responsibilities include:

• Understand key market risk within Markets’ trading inventory with consideration of key market themes and environments through data analysis. Communicate results daily with head of IBR and trading heads. Help design appropriate hedging strategy as needed.
• Closely track performance of products within Global 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, concentration, and emerging risks.
• Understand the firm’s risk appetite, limits and our capital framework to allow effective optimization and allocation of risk.
• Build front to back holistic understanding of risk and its implications on all attributions of capital, such as Stress losses, Value-at-Risk, etc.
• Support the Head of IBR and Business Heads to analyze their return on capital and risk appetite ratio.
• Work closely with independent risk teams (2nd Line of Defense) in sizing appropriate risk limits for the overall business and monitor risk limit utilizations across businesses.
• Developing data analytics tool by working technology, quants and asset class IBR team to help efficiency for 1st risk management.
• Hands-on data analysis and explain VAR, Stress testing and RWA for Markets.
• Conduct in-depth statistical analysis of financial data to identify market inefficiencies and develop predictive signals.
• Research and apply cutting-edge quantitative techniques, including machine learning and artificial intelligence, to enhance existing strategies or develop new ones.
• Work with Technology / MQA to develop comprehensive risk monitoring framework to manage overall portfolio risk and capital utilization in a timely manner, propose optimization strategy.

Qualifications:

• 10 years of experience in a related role, such as Trading/Structuring/Research or Quantitative/Data Analysis, for which one of the focuses was centered on managing Market Risk.
• Background and knowledge of Fixed Income and equity markets, and Fixed Income product structuring and trading are beneficial.
• Cross asset class product and market knowledge is important.
• Effective interpersonal skills to develop and maintain relationships.
• Consistently clear and concise written and verbal communication.
• Exceptional analytical and numerical competency. Strong analytical / quantitative background.
• Strong in Python and SQL programming skills
• Experience with Big data Apache Hadoop
• Experience with Tableau/PowerBI or other dashboard tools
• Deep data knowledge in Front office Risk, Valuation, Margin, Settlement for OTC Derivatives.
• Excellent technical, diagnostic, and troubleshooting skills by working with Technology
• Excellent in building professional relationships with staff and clients.

• Excellent communication, motivational, and interpersonal skills.

• Must have strong attention to detail, be self-motivated and inquisitive with an interest in financial markets and trading.
• Strong MS Excel, Bloomberg, Tableau, and problem-solving skills. Programing skills such as SQL and Python are preferred.
• Ability and strong interest to learn and understand various asset classes and associated risks

Education:

Bachelor’s degree or master’s degree. Preferably Engineering, Statistics, or Finance.

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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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Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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Salary : $200,000 - $300,000