Market Risk - G10 Rates North America Non-Linear Trading, Senior Vice President

Citi • New York, NY

5d • $176,720 - $265,080 • Onsite

About The Position

The Global Rates Team within the Market Risk Management group is responsible for the oversight of this business. This role is for a senior market risk manager covering G10 Rates Non-Linear business, responsible for independent risk oversight, challenge, and analytics across complex derivatives portfolios, with direct engagement with trading and senior management. The G10 North America Rates Trading business is a significant franchise providing interest rate market-making and client solutions across a wide range of products, from sovereign bonds to exotics. The Non-Linear business trades inflation products, vanilla interest rate options, exotic derivatives, and bond-related instruments. The successful candidate will build effective relationships with the front office, risk colleagues, and partner functions; challenge assumptions; and operate comfortably in a quantitatively complex environment. The role requires a willingness to work at a detailed level while consistently delivering high-quality, insightful analysis. Developing and maintaining strong technical expertise in interest rate products and market risk methodologies is essential.

Requirements

• Relevant experience in rates non-linear markets, with a solid understanding of products, markets, and associated risks.
• Strong quantitative understanding of rates products and the key drivers of their risk profiles.
• Experience with portfolio risk measurement techniques, including VaR and stress testing.
• Effective relationship management across all levels of the organization, with the ability to engage constructively and provide challenge, particularly to the front office.
• High standards for data integrity and analytical quality, with a focus on delivering clear, timely, and insightful outputs.
• Comfortable deep-diving into detail to resolve issues and managing time effectively in a fast-paced environment.
• Strong communication and presentation skills.
• Bachelor’s degree required.
• Analytical Thinking
• Credible Challenge
• Governance, Policy, Procedure, and Regulation
• Portfolio Analysis
• Risk Management Lifecycle

Nice To Haves

• a Master’s or PhD is advantageous.
• Familiarity with financial or statistical modeling is beneficial.
• Advanced Excel skills and proficiency in Python and SQL are desired to drive analytics, automation, and scalable risk insights across large datasets.
• Comfortable using artificial intelligence tools to support risk analysis and improve efficiency.

Responsibilities

• Accountable for identifying, evaluating, and proactively managing market risks generated by the G10 NAM Rates Non-Linear business, including the identification of top risks and outlier stress scenarios, and the design and execution of ad hoc stress analysis.
• Partner with trading desks to provide independent oversight and constructive challenge on risk-taking activities.
• Engage in detailed analysis of non-linear products and risks, including developing tools to analyze market data, portfolio exposures, and individual trades.
• Ensure the accuracy and completeness of reported exposures, including identification and resolution of data issues and coverage of key risk drivers and potential P&L impacts.
• Oversee the setting and monitoring of risk limits, and contribute to the development and production of metrics supporting regulatory requirements and stress testing processes.
• Produce periodic materials and presentations for senior management and regulators, and provide clear, timely commentary on positions and market developments.
• Review and challenge assumptions in risk models used by the business and assess the impact of model changes.
• Partner closely with Financial Control, Price Verification, and Model Validation teams to ensure robust and effective control frameworks.
• Contribute to the review of new business proposals, including risk limit setting and monitoring, and ensure risks are fully captured within firm systems.

Benefits

• medical, dental & vision coverage
• 401(k)
• life, accident, and disability insurance
• wellness programs
• paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays

What This Job Offers

• Job Type: Full-time
• Career Level: Senior