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Senior Vice President, Non-Trading Market Risk Management provides independent second line role in Non-Trading Market Risk including Interest Rate Risk in the Banking Book and market risk management of Treasury Investments. Participates in establishment of frameworks for evaluating the impact of adverse Non-Trading Market Risk events and circumstances on the Firm’s operations and financial condition. Utilizes thorough understanding of methodologies, relevant regulatory requirements, and governance control processes for independent risk management oversight of Non-Trading Market Risk activities. Provides contribution to development of target state strategy of the overall approach to Non-Trading Market Risk programs in alignment with the Enterprise Risk Management Framework.
Job Responsibility
Ensure second line independent market risk oversight of first line including Interest Rate Risk in the Banking Book (IRRBB) and market risk management of Treasury Investments
Review and challenge IRRBB risk identification activities performed by the first line units
Review the challenges IRRBB proposal on entity limits, assumptions, and models, as well as transfer pricing strategies
Monitor periodically, understand the drivers of significant movements in reported IRRBB exposures of pricing risk, curve risk and optionality
Monitor Non-Trading Market Risk stress loss limits and reviews associated management actions
Coordinate the development of relevant Non-Trading Market Risk Frameworks, Policies and Procedures
Coordinate Non-Trading Market Risk review and challenge of New Activities proposals
Review risk management processes for conceptual soundness, fitness for purpose and potential limitations and weaknesses
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
Requirements
Bachelor’s degree with strong academic record in economics, finance or other quantitative field
Master’s or higher degree is preferred
Experience in Risk Management, Treasury, Capital Markets or other functions within a financial services sector
Broad understanding of risk management and analytics
Strong analytical knowledge of capital markets products
Experience in market risk management preferred
Familiar with interest rate risk in banking book, investments, and balance sheet management activities
Excellent quantitative and technical skills
Strong written and verbal communication skills
Goal driven with excellent ability to work within a team globally
Highly motivated with attention to detail
Nice to have
Experience in market risk management preferred
Master’s or higher degree is preferred
What we offer
Access to telehealth options, health advocates, confidential counseling
Expanded Paid Parental Leave Policy
Programs and services to manage financial well-being and help plan for the future
Access to an array of learning and development resources
Generous paid time off packages
Resources and tools to volunteer in the communities