London, United Kingdom
5d ago


The G10 Rates and FX team within the Market Risk Managementgroup is responsible for the oversight of these businesses. This role is for aRisk Manager, located in London to join an existing team focused on the marketrisks associated with the EMEA Rates Trading business.

The EMEA Rates Trading business is a significant businessproviding interest rate market-making and solutions to customers as part of theGlobal G10 Rates franchise.

The successful candidate must be able to build effectiverelationships with front office and other groups as well as risk colleagues,challenge assumptions, be comfortable with quantitatively complex issues,willing to work at the detailed level and be a producer of high quality andinsightful output.

It is vital that the candidate should have and developfurther a very good technical knowledge of interest rate products as well asmarket risk approaches.

Over time there may be scope to expand to cover otheraspects of the EMEA business within Global Rates & FX.

Main Activities

Work with existing team members to be accountable for the identification and evaluation of market risks generated by the EMEA Linear Rates business.

Identification of top risks’ and outlier stress events. Working on and performing ad-hoc scenarios.

Communicationwith trading desks.

Candidatemust be very comfortable discussing linear products (bonds, swaps, crosscurrency swaps) and their risks and building spreadsheets to analyse risk andmarket data, portfolio risks and individual trades.

  • Workingwith others to ensure that the reported exposures are correct and cover themain drivers of risk and potential p / l;
  • identification and resolution of anydata issues.

    Ensuringlimits are properly set and monitored accurately. Contribute to the developmentor production of metrics used to satisfy regulatory requirements and stresstesting processes.

    Periodicpreparation of presentation materials for senior management or for internaldiscussions. Ability to speak as needed on market events.

    Reviewand validate assumptions in accrual risk models used by underlying businessunit(s) and analyse the impact of model changes.

    Workclosely with Financial Control, Price Verification and the Model Validationgroups within the organization to ensure that the proper controls are in place.

    Helpwith reviews of new business proposals including risk limits setting andmonitoring and ensuring risks can be fully captured within the firm’s systems.


    Knowledge, skills and experience required :

    Solidexperience in the rates markets with good knowledge of the markets, productsand risk. Good quantitative level of experience with rate products andtheir risks.

    Experiencewith portfolio risk measurement techniques including VAR and stress testing.

    Strongrelationship management and liaison with business people of all levels. But must be willing to challenge as needed, particularly front office.

    Mustbe dedicated to information integrity and to producing high quality andinsightful output and hitting deadlines where applicable.

    Must beprepared to go into as much detail as is required to resolve issues. Mustbe capable of working very productively using time very efficiently.

    Goodpresentation and communication skills.

    Atleast Bachelor level degree, Masters or PhD can be useful. Familiarity with financial or statistical modelling is beneficial.

    Strongexperience and facility with Excel including VBA and add-in functions, ideallywith experience of using financial pricing functions.

    Python and / orBusiness Intelligence experience not required, but useful.

    Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

    Valuing Diversity :

    Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organisational success.

    Citi is an Equal Opportunities Employer

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