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Individual will be responsible for working as part of a team responsible for measuring, monitoring and controlling risk for FX Prime Brokerage business.
Analyzing client portfolios (with a focus on FX vanilla and exotic products) to ensure counterparty and liquidity risk are being properly measured and controlled in line with the firm's risk policies.
Job Background/context: In-Business Risk (IBR) is a global team supporting the Futures, OTC Clearing and FX PB business. Head of IBR reports into the Head of Futures & OTC Clearing business as well as the Head of IBR for Investor Services.
This senior In-Business Risk (IBR) role will cover all regions.
To fulfill this role a Risk professional is required who has strong FX derivatives product knowledge and experience with margin models.
Monitor client portfolios to ensure that risks (primarily market and liquidity risk, but also documentation, legal and reputational risks) are controlled.
Client Reviews: Perform regular risk reviews incorporating market risk portfolio analysis as well as suitability and appropriateness of margin policies.
Margin platform development: Design, implement and test FX Prime Brokerage margin model to mitigate counterparty and liquidity risk of complex products
Business/product development: Build real-time risk infrastructure for FX products to provide better service and improved risk management for both clients and the firm.
Work with clients to size portfolio risk and determine margin levels. Communicate risk and margin issues to Sales.
Develop and utilize risk management tools for the measurement, monitoring and management of clients' exposure.
Perform standard daily and weekly analysis as well as customized risk analysis. Communicate key findings to senior management.
Put together presentations and documents for internal and external use on various topics including describing the functions of the Risk Group, margin methodologies, and summarizing risk issues.
Analyzing Control Environment including periodic review of the control environment, vetting of new systems, processes, policies and procedures associated and related to market and/or credit risk and ensuring they are in sync with market practices.
Represent the department to various and internal and external Credit officers, auditors and regulatory agencies as their issues relate to market risk and control issues.
Work as business advisory leads on assessing and implementing Regulatory Capital infrastructure and helping the business improve capital efficiency
Work with Citi's clearing risk teams on adopting best practices and with clearinghouse Risk managers on designing offering for clearing FX products
Business is in a strong growth phase giving opportunity to expand the role as the business grows.
Learn about new products that are being added to FX both on a bilateral and clearing basis
Build solid market/credit Risk experience as we use cutting-edge risk models and techniques
Strong experience with managing risk of FX Derivatives products including forwards, vanilla options, exotic options and volatility products.
Relevant market risk experience in FX or Rates product areas.
Trading experience desirable.
Development and implementation of class leading risk methodologies, margin models and technology.
Strong analytical skills with good attention to detail and a demonstrated aptitude for tackling analytical issues through quantitative modeling and assimilation of data into a working product
Ability to work well with cross-functional teams from Business, Credit, Operations and Compliance