Citi, the world leading global bank, has approximately 200 million customer accounts and a presence in more than 160 countries and jurisdictions worldwide. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Citi enables clients to achieve their strategic financial objectives by providing them with cutting-edge ideas, best-in-class products and solutions, and unparalleled access to capital and liquidity.
The Derivatives Credit Risk Technology Team is responsible for delivering Counterparty Credit Risk Management software solutions to Citi’s Risk organization which manages Citi’s exposure to financial institutions, governments and corporates that trade with Citi. The team builds and maintains software used to compute metrics that help mitigate Citi’s exposure to counterparty default. These include computation of optimal Margin Allocation for Portfolios and Trades, Haircut for Security and Cash Collateral, Trade and Collateral Liquidity, Collateral Concentration Levels and Wrong Way Risk, amongst others.
Key Responsibilities:
- Liaise with stakeholders across the Risk and Front Office Technology, Counterparty Risk Management, Finance and Front Office business organizations, and external Market Regulators to assemble business requirements for Counterparty Risk Technology projects.
- Manage expectations of various stakeholder groups and help negotiate solutions to complex problems.
- Project manage complex Counterparty Credit Risk projects end to end. Accurately record, maintain, and report Program/Project management tracking data such as milestones via Citi’s internal project tracking systems.
- Help assemble/manage detailed documentation covering Counterparty Risk calculations and other processing, to be used to discuss technology implementation details with the Business users and Market Regulators in various countries/regions. Create flow diagrams, structure charts, and other types of system or process representations when appropriate.
- Facilitate and drive project meetings with both business and technology teams.
- Develop and review test scripts with business users as well as technology teams for System, User and Impact testing.
- Understand, analyse, and explain counterparty mark-to-future exposures on Derivatives books to users. Investigate Potential Future Exposure/EPE/EAD/RWA and related calculations for internal risk management and BASEL regulatory capital reporting based on the exposure profiles generated by the systems.
- Ability to trace changes in day to day exposures to changes in markets, books and or legal agreements.
- Where feasible develop excel prototypes to demonstrate and analyze risk calculations.
Knowledge/Experience:
- Extensive experience in Business Analysis and Project Management. SDLC awareness including knowledge of quality issues in software development.
- Extensive experience in the Capital Markets domain.
- Excellent understanding of the mechanics and life cycle of derivatives products, including Options, Futures, Forwards and Swaps. Knowledge of Securities Financing Transactions (SFT) products an advantage.
- Excellent understanding of Counterparty Credit Risk
- Potential Future Exposure, Margin (ISDA MNA and CSA), Collateral Haircut, Liquidity and Period of Risk, Settlement Risk.
- Understanding of Basel III/IV and any other relevant Risk Regulations and measures including PSE, RWA, EAD.
- Knowledge of Market Risk an advantage including Credit Value Adjustment (CVA).
- Extensive project management experience, including co-ordination across remote global teams.
- Where required supervise day-to-day staff management issues, work allocation but especially mentoring/coaching.
- Data Analysis capabilities (Database or Spreadsheet), with extensive experience using Excel required.
Education:
- Bachelor's degree/University degree or equivalent experience. Master's degree an advantage.
- Graduate in STEM (Science, Technology, Engineering and Mathematics) or Finance disciplines.
- FRM/CFA or other Financial mathematics degree or certification is an advantage
Competencies:
- Excellent verbal and written English.
- Ability to collaborate effectively in a large global team.
- Ability to take ownership and proactively follow up on issues.
- Ability to work well under pressure, to agreed and often challenging deadlines.
- Strong organization skills.
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Job Family Group:
Technology
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Job Family:
Business Analysis / Client Services
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Time Type:
Full time
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Citi is an equal opportunity and affirmative action employer.
Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.
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What We Do
Citi's mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients. We have 200 years of experience helping our clients meet the world's toughest challenges and embrace its greatest opportunities. We are Citi, the global bank – an institution connecting millions of people across hundreds of countries and cities.
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