Market Risk Data Analytics – Assistant Vice President

Location: Pune, Maharashtra, India

Employment Type: Regular

Description:

The Global Markets In-Business Risk (IBR) is a Front Office 1st Line of Defense team responsible for market risk across asset classes within Citi’s Global Markets division. The team aims to establish a holistic understanding of market risk and capital of the aggregated trading portfolio, as well as to optimize the business’s return on capital. Global Markets IBR covers all trading businesses globally such as Rates and Currencies, Global Spread Products, Commodities, and Global Equities. As the IBR function is expanding its presence in India, the focus of this role would be to support various data analytics and transformation initiatives while applying strong product and /or market risk domain understanding.

Responsibilities:

• Perform hands-on risk data analysis to identify tangible market risk insights for various cross-asset class products and associated market risk measures at regular frequency

• Use capital markets products and market risk domain knowledge to perform controlled and complex data analytics process for identification of various trends and critical insights to support markets business decisions

• Identification of data quality issues impacting various market risk metrics (VaR, SVaR, MR RWA, Stress testing, forecasting etc.) and performing hands-on root cause analysis to identify remediation approaches in close collaboration with technology partners

• Prepare a concise summary of drivers of market risk movements across different asset classes as well as notable trends to support periodic 1st line risk reports for senior stakeholders’ consumption

• Develop a front-to-back understanding of systems and data flows as it pertains to market risk calculations as well as reporting. Perform independent data extraction & analysis as well as validation for remediation projects.

• Through BaU market risk activities, develop a comprehensive understanding of the firm’s risk appetite, limits and capital framework to support various transformation initiative for improving accuracy and efficiency of market risk management.

• Work closely with 2nd line risk, technology, independent assurance as well as finance partners to support periodic as well as ad-hoc risk management and analytics related project activities

• Develop automation for current manual risk analysis and reporting activities while aiming for process improvement targeted towards timely and accurate market risk management activities

Qualifications:

• 5+ years of experience in a related role, such as trading / market risk management or quantitative data analysis specifically within capital markets environment

• Demonstrate potential for complex risk data analytics while applying comprehensive understanding of systems / data flows as well as practical product / market risk knowhow

• Familiarity with Market Risk metrics as well as associated processes such as Greeks, VaR/SVaR, Specific Risk, Default Risk, FRTB etc. within a markets business environment

• Experience being key contributor in large projects partnering with multiple teams such as FO, Technology, Quantitative Research, Model Validation etc.

• Strong and effective interpersonal skills to engage stakeholder groups to ensure continued progress on deliverables

• Self-starter and organized project management mind-set to support concurrent activities with sensible prioritization

• Must have strong attention to detail, be self-motivated and inquisitive with an interest in financial markets and trading

• Strong MS Excel, Bloomberg, Tableau, and problem-solving skills. Programing skills such as SQL and Python are preferred.

• Preference for CFA, FRM along with ability and strong interest to learn and understand various asset classes and associated risks

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