Spread Products In-Business Risk (IBR) is a Front Office 1st Line of Defense Team responsible for market risk and capital management within Citi’s Spread Products business. Spread Products IBR covers all Spread Products trading and financing businesses globally. This role is specifically focused on Agency and Non-Agency Mortgages, with a more significant focus on Agency Mortgages.

The main focus of this role is a coverage of portfolio risks arising from trading and financing activities across Agency and Non-Agency Mortgages, with a greater focus on Agency Mortgages.

Key Responsibilities include:

-Identify and monitor key systemic and idiosyncratic risks across Agency and Non-Agency Mortgage trading and financing businesses, including frequent discussions with the head of Spread Products, head of Spread Products IBR and heads of Agency and Non-Agency Mortgage Trading.

-Closely track position level performance 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.

-Design and implement consistent risk metrics that explain the performance of Agency and Non-Agency Mortgage positions in different market environments.

-Work with colleagues in MQA/Technology to develop comprehensive risk monitoring framework to manage overall portfolio risk and ensure efficient allocation of capital.

-Develop front to back holistic understanding of risk across Agency and Non-Agency Mortgages including implications on all attributions of capital, such as Stress losses, Value-At-Risk, etc and strengthen risk monitoring, control, and governance processes.

-Working 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.

-Represent Agency and Non-Agency businesses providing SME input on market risk in Regulatory/Audit meetings, Stress Testing scenario design/CCAR/other regulatory workstreams and be able to influence the outcome

Qualifications:

-10+ years of experience in Trading/Risk Management role for which one of the focuses was centered on managing market risk

-Expert knowledge across Agency and Non-Agency Mortgage asset classes, with more extensive experience in Agency Mortgages

-Extensive experience in managing regulatory interactions and workstreams

-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.

-Must have strong attention to detail, be self-motivated and inquisitive with an interest in financial markets and trading

Education:

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

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Job Family Group:

Institutional Trading

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Job Family:

Trading

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Time Type:

Full time

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Primary Location:

New York New York United States

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Primary Location Full Time Salary Range:

$200,000.00 - $300,000.00

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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Most Relevant Skills

Please see the requirements listed above.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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Anticipated Posting Close Date:

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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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