Job Purpose:

• Implementation and maintenance of a sound and robust second line oversight of trading book market risk (in accordance with the policies) across Markets’ business mainly but covering all businesses in the country/cluster
• Developing appropriate local policies and framework
• Independent oversight of risk reporting and adherence to the limits and other requirements
• Assessment of new products through established NPAC process
• Providing credible second line challenge to Business proposals
• Ensuring regulatory requirements are assessed with the gaps identified and actioned in a timely manner

Job Background/context: Regulatory expectations on the quality and granularity of Market Risk framework in UAE and the region have considerably strengthened in the past few years. The new and complex requirements include:

• Developing branch-specific policies (Mark-to-Market Risk in this case)
• Entity specific Risk Appetite Statements (including Market Risk strategy and Stress testing Policy)
• Conducting a full gap analysis against all existing regulation

• Oversight of adherence to limits
• Local risk capital assessment and stress testing on customized scenario
• Providing input into key governance documents such as the Board level decks, Regulatory disclosure forms, Strategic Plan, ICAAP, Risk Appetite

Key Responsibilities:

• Assisting with day-to-day Market risk management requirements in MENA region with primary exposure to UAE

• Conduct detailed gap analysis to ensure current practices are in line with local regulatory guidelines
• Approve and challenge Trading teams on approved product lists and their attributes.
• Working with the front office and market risk stakeholders on new product and limit approvals; ensuring risks arising are fully understood, developing risk scenarios, and setting limits in line with appetite
• Interacting regularly with the front office traders to ensure that the market risks arising from day-to-day trading positions are fully understood and managed appropriately within the limit framework.
• Control integrity of data (through monthly volatility maintenance review and sign-off) including VaR
• Escalate breaches to senior management and to key governance forums (CCC/Risk Committee/ALCO)
• Ensure senior management is aware of model limitations and impact on franchise
• Conduct stress testing as required by regulators, and periodically review results of stress test results generated by reporting teams
• Assist in internal/external audit queries and liaising with a broad variety of other functions to ensure that the trading systems adequately represent the risk profile of the trading books, and that risk numbers are reported in an accurate and timely manner.
• Assessing capital requirements and for Market Risk for ICAAP purposes and liaising with QRS/Business on the model output as necessary
• Investigating significant profit and loss events and reporting to senior management on key drivers.

Development Value: The role will enable the successful candidate to demonstrate independent thought, task/project management skills, ability to implement changes, also meeting senior members of Country/ Cluster business teams, Finance, Technology in addition to other areas of Risk Management. Knowledge/Experience:

• Minimum 5 years’ experience within risk management, front office, treasury or support functions with exposure to balance sheet, financial products, financial/risk analysis
• Knowledge of market risk management and regulatory framework
• Previous experience in a related role, such as Trading/Structuring/research or quantitative/data analysis, for which one of the focuses was centered on managing market risk and new model/process development for FRTB/Basel requirements.
• Previous experience in risk modelling and programming skills (such as SQL, Python, R, C++).
• Familiarity with Windows and UNIX/Linux operating environment and advanced knowledge of financial instruments and derivative products

Skills:

• Strong analytical and technical skills
• Attention to detail
• Project management skills is an advantage
• Team player yet with proven ability to drive changes
• interpersonal skills and communication, representational skills given the need for frequent interaction with partners in Risk, Treasury, Business and Support Functions
• Proven and demonstrated experience in a comparable role, with strong knowledge of FX products (Spot, Forward, Options), Exchange Traded Derivatives (ETD), OTC Derivatives relating to Interest Rates and Credit, modelling/programming.

Qualifications:

• Self- motivated
• Relevant experience in risk management, front office or support functions and understanding of the overall financial services sector
• Understanding of trading and banking book products, pricing models and key market risk metrics
• Education: CFA and master’s degree. Preferably in Engineering, Statistics, or Finance.

Competencies:

• Readiness to use initiative
• Ability to evaluate issues related to the business
• Proactive approach to issue resolution
• Ability to work well in groups and flexibility in addressing a number of tasks simultaneously
• Willingness to resolve conflicts and work well under pressure

- Job Family Group: Risk Management - Job Family: Market Risk - Time Type: Full time - Citi is an equal opportunity and affirmative action employer. Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran. Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi. View the "EEO is the Law" poster. View the EEO is the Law Supplement. View the EEO Policy Statement. View the Pay Transparency Posting