Spread Product Market Risk Manager, Senior Vice - Paris, France - Citi

Citi

Entreprise vérifiée

Paris, France

il y a 3 semaines

Posté par:

Sophie Dupont

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Description

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in analysis, problem solving and communication to Citi's Risk Management function.

By Joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Team/Role Overview

As part of the implementation of Citi's transformation of Citigroup Markets Europe (CGME) into an investment firm in Germany and as part of Citi's Brexit strategy, this role is required to strengthen market risk management.

The role will involve working closely with traders.

This roles focus will be on the implementation and management of a regulatory-compliant and robust market risk framework for the entity and meeting the needs of local regulators.

Among other things, the role will be responsible for monitoring, reporting and escalating market risk to internal and external stakeholders and has to ensure that CGME complies with appropriate Citi policies and procedures, industry best market risk management practices, and regulatory requirements at all times.

The role will form part of Spread Product Global Market Risk team for the oversight of spread product trading activities on CGME legal entity based in Paris.

The role will report directly to CGME Market risk head and have a matrix reporting line to the Head of UK/Europe Cluster Spread Market Risk.

The Spread Product Market Risk manager works in a team that covers vanilla and structured credit trading and hedging activity globally.

Products include corporate bonds/ Credit Default Swaps /indices/ Exchange-Traded Funds, credit index options, correlation, and Collateralised Loan Obligations tranches, Credit-Linked Note, and Total Rewards Statement and secured loan financing activities.

The individual leads and manages projects cross functions such as stress testing, risk analytics, regulatory capital, and model risk.

This role works at senior level with other risk disciplines such as credit risk and convergence risk, and engages directly and independently with senior trading heads, in-business risk teams, and senior risk executives.

What you'll do

Day to day responsibility for market risk management of the Spread products risk exposures.
Actively engaging with the traders/business to ensure proper governance over CGME's market risk exposures.
Assist with the market risk of European Banking Authority stress testing which aligns with internal and regulatory reporting for spread products.
Assist in the preparation of regulatory or legal entity governance projects drawing in appropriate regional/global risk resources as required.
Support CGME's Market Risk team in evaluating legal vehicle market risk controls and framework for spread product business or strategic initiatives.
Review CGME legal vehicle market risk positions in the context of limits, mandates and permitted product lists.
Escalate any issues, with appropriate suggested mitigations, to CGME Head of Market Risk and Head of UK/ Europe Cluster without delay.
Assist with delivery of market risk reports/commentary to Risk Committees, regulators, and Senior Management and in ensuring that market risk component of relevant audits, inspections and reviews are completed successfully.
Establishing, ongoing evaluation and monitoring of market risk limits and coordination of appropriate actions related to limit exceptions or breaches.
Oversee risk exposure measurement and limit monitoring processes to ensure integrity and reporting efficiencies and ensure adherence to Citi's market risk policies and regulatory requirements.
Autonomously monitor business compliance with the firm's market riskrelated policies.
Analyse standard loss measures, risk return metrics, and the risk appetite framework.
Economic and regulatory risk capital concepts and analyse major drivers.
Participate in the methodology setting for Value at Risk (VaR) and review inputs/outputs of VaR as well as Profit & Loss back testing.
Monitor financial markets and understand its implications to market risk exposure and the firm.
Economic and regulatory risk capital concepts and analyse major drivers.
Consider market risk approval for new model validations and well as existing model revalidations. Participate in the ongoing development, implementation and upgrade of risk systems and processes, including stress testing, VaR, incremental risk charge/incremental default loss default measures, CitiRisk, and Limit Central.
Participate in Spread products business meetings, or any other business related forums for CGME.

What we'll need from you

Bachelor's/University degree, Postgraduate education in Economic, Finance, Financial Risk Management, or other quantitative discipline preferred.
Spread Product knowledge is an asset.
Fluent in written and