Risk Reporting Senior Analyst

Citi • Getzville, NY

1d • $86,647 - $100,000 • Hybrid

About The Position

Citibank, N.A. seeks a Risk Reporting Senior Analyst for its Getzville, New York location. Duties: Review and submit daily regulatory reports, including Value-at-Risk (VaR) and Stressed Value-at-Risk (Stressed VaR) for portfolio limits, factor sensitivity by risk asset class, and global stress testing limits. Provide ad hoc in-depth data analysis of key drivers of risk to support Market Risk Management when there are unexpected VaR moves using Excel, VBA, and Access. Monitor daily exposure changes and coordinate with Risk Management to make sure Top of the House Limits are correctly reflected in Limit Central. Perform regulatory VaR back-testing required for evaluation of the VaR model used in calculation of risk-based capital and can impact the capital multiplier. Perform the daily back-testing by benchmarking Basel 3 Monte Carlo simulation VaR against historical profit and loss. Use knowledge of VaR and buy and hold profit and loss for timely follow ups. Perform analysis on VaR and Market factors, and confirm variances in preparation of various regulatory filings, including 10-Q, 10-K, Earnings, Pillars, and FFIEC submissions. Use data analysis and data visualization skills to reduce end user computing by building new Tableau processes of enhanced efficiency and streamlined workflows. Provide market risk metric analysis using Access and Tableau. Transfer report or process from VBA and Access to Tableau. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements

• Requires a Master’s degree, or foreign equivalent, in Mathematics, Economics, Financial Risk Management, or related quantitative field and 1 year of work or internship as a Financial Data Analyst, Quantitative Analyst, or related position involving market risk metrics and VaR monitoring, reporting and analysis within the financial services industry. Alternatively, employer will accept a Bachelor’s degree in the stated fields and 3 years of the specified progressive, post-baccalaureate experience.
• 1 year of experience must include: Clean buy and hold profit and loss; Data analysis using Excel, VBA, and Access; Market risk metrics monitoring, reporting and analysis; Market factor analysis; Back-testing; Variance analysis; Portfolio analysis; and Report process automation using Excel, and VBA.

Responsibilities

• Review and submit daily regulatory reports, including Value-at-Risk (VaR) and Stressed Value-at-Risk (Stressed VaR) for portfolio limits, factor sensitivity by risk asset class, and global stress testing limits.
• Provide ad hoc in-depth data analysis of key drivers of risk to support Market Risk Management when there are unexpected VaR moves using Excel, VBA, and Access.
• Monitor daily exposure changes and coordinate with Risk Management to make sure Top of the House Limits are correctly reflected in Limit Central.
• Perform regulatory VaR back-testing required for evaluation of the VaR model used in calculation of risk-based capital and can impact the capital multiplier.
• Perform the daily back-testing by benchmarking Basel 3 Monte Carlo simulation VaR against historical profit and loss.
• Use knowledge of VaR and buy and hold profit and loss for timely follow ups.
• Perform analysis on VaR and Market factors, and confirm variances in preparation of various regulatory filings, including 10-Q, 10-K, Earnings, Pillars, and FFIEC submissions.
• Use data analysis and data visualization skills to reduce end user computing by building new Tableau processes of enhanced efficiency and streamlined workflows.
• Provide market risk metric analysis using Access and Tableau.
• Transfer report or process from VBA and Access to Tableau.

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.
• For additional information regarding Citi employee benefits, please visit citibenefits.com.
• Available offerings may vary by jurisdiction, job level, and date of hire.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Number of Employees: 5,001-10,000 employees