Non-Trading Market Risk Mgmt Ld Analyst

Citi•New York, NY

24d

About The Position

Establish reporting requirements, develop tools, and make recommendations to limit risk with respect to portfolios and products. Implement projects involving system migrations, regulatory deliverables, and consolidated accrual interest rate risk reporting. Perform analysis on forecasted and historical financial and strategic performance. Work with trading desk to execute risk metrics reporting and analysis. Analyze DV01, basis risk, and credit and market risk limits of business product. Perform modeling to forecast net interest income in various economic scenarios and predict how sensitive this income is to external shocks, including changes in interest rates. Evaluate and explain drivers for variances in interest rate risk exposures. Provide ad-hoc support to portfolio exposures, capital investment, and risk sensitivities.

Responsibilities

Establish reporting requirements
Develop tools to limit risk with respect to portfolios and products
Make recommendations to limit risk with respect to portfolios and products
Implement projects involving system migrations
Implement projects involving regulatory deliverables
Implement projects involving consolidated accrual interest rate risk reporting
Perform analysis on forecasted and historical financial and strategic performance
Work with trading desk to execute risk metrics reporting and analysis
Analyze DV01, basis risk, and credit and market risk limits of business product
Perform modeling to forecast net interest income in various economic scenarios
Predict how sensitive this income is to external shocks, including changes in interest rates
Evaluate and explain drivers for variances in interest rate risk exposures
Provide ad-hoc support to portfolio exposures
Provide ad-hoc support to capital investment
Provide ad-hoc support to risk sensitivities