Agency Mortgage Securitized Products Market Risk Sr Group Manager, Director

Citi•New York, NY

About The Position

The Market Risk Sr Group Manager manages multiple teams through other managers. In-depth understanding of how own sub-function contributes to achieving the objectives of the function. A good understanding of the industry, direct competitors' products and services, is also necessary in order to contribute to the commercial objectives of the business. Requires thorough understanding of strategic direction of the function within the relevant part of the business, combined with a solid conceptual/practical grounding in both the function and/or area of expertise and related subject areas. Excellent communication skills required in order to negotiate internally, often at a senior level. Some external communication/negotiation may be necessary. Responsible for executing functional strategy in area managed. Determines approach to implementing functional strategy. Accountable for end results, budgeting, planning, policy formulation and contribution to future strategy of the area(s). Impact reflects size of team managed, strategic influence on the business and interaction with other functions or businesses. Full management responsibility for multiple teams, including management of people, budget and planning, to include duties such as performance evaluation, compensation, hiring, disciplinary actions and terminations and budget approval. May be doing involved or responsible for diverse (cross-discipline) activities. Typically, a direct report to a C16 role and function as an intergral member of the functional leadership team within a country/site location, job family, or line of business. Responsible for measuring, monitoring and analyzing the organization’s market risk exposure on a day-to-day and long-term basis for various financial products. Market risk pertains to potential loss due to market movements such as changes in interest rates, equity prices, credit spreads and foreign exchange rates. Individuals monitor trading limits and are responsible for approving transactions over certain established limits. Work with traders or trading management and recommend actions to mitigate risk. Responsible for monitoring and analyzing the organization’s risk exposure by understanding the risks and rewards of the Citi products. Structures solutions to mitigate risks of those products. Director will be responsible for the market risk management across Citi for the mark to market agency mortgage trading portfolios

Requirements

15+ years relevant experience
Subject Matter Expert in financial instruments, risk metrics and Securitized Products Market Risk Management • Expert analytical, technical and quantitative skills • Expert knowledge of treasury, market risk and liquidity management and knowledge of secured financing, securitization, and derivative products • Excellent written and verbal communication skills • Must be a self-starter, flexible, innovative and adaptive • Highly motivated, attention to detail, team oriented, organized • Highly developed presentation skills with the ability to articulate complex problems and solutions through concise and clear messaging • Ability to interact and communicate effectively with senior leaders • Demonstrated ability to assess complex issues through root cause analysis and other analytical techniques; structure potential solutions; drive to resolution with senior stakeholders • Ability to influence and lead people across cultures at a senior level using sound judgment and successful execution, understanding how to operate effectively across diverse businesses • Comfort navigating complex, highly-matrixed organizations • Excellent project management and organizational skills and capability to handle multiple projects at one time • Proficient in MS Office applications (Excel/VBA, Word, PowerPoint) and SQL
Programming/modeling experience
CFA or Financial Risk Management (FRM)
Bachelor’s/University degree, Master’s degree preferred and managerial experience

Responsibilities

Responsible for securitized products market risk across various portfolios with specific focus on agency mortgage trading
Identify, monitor and analyze risks in the market agency mortgage market specific portfolios
Identify, examine and preserve major drivers of risk and returns, analyze trends and explain changes.
Analyze standard loss measures, risk return metrics, and the risk appetite framework.
Review scenario analysis to assess potential financial impact to Citi.
Economic and regulatory risk capital concepts and analyze major drivers
Participate in the methodology setting for VaR and review inputs/outputs of VaR as well as P&L back testing
Consider limit exception requests, model validation requests, and permitted product requests.
Consider market risk approval for new model validations and well as existing model revalidations.
Monitor financial markets and understand its implications to market risk exposure.
Develop tools for on-going portfolio reviews and produce “deep dive” analysis for senior management.
Produce presentations (regular and ad-hoc) for senior management and regulators.
Monitor financial markets and understand its implications for the firm.
Review scenario analysis to assess potential financial impact to Citi.
Economic and regulatory risk capital concepts and analyze major drivers
Work collaboratively with Citi business/functional line management, risk and finance groups
Represent Citi on critical regulatory matters as required. Serves as liaison with regulatory examiners, Internal Audit, and external auditors on critical Risk issues and oversees the implementation of related remediation.
Manage a team or multiple teams of Risk professionals. Responsible for hiring, compensation, performance appraisals, staff development, training, etc.
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, as well as effectively supervise the activity of others and create accountability with those who fail to maintain these standards.

Benefits

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.

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