South Africa / East Africa Market Risk Manager at Citi

Job description

Job Purpose

The Market Risk Manager within the Trading Book Risk Portfolio is:

• responsible for implementing a consistent governance process for market risk, accrual risk and liquidity risk (in accordance with the policies) across Fixed Income Currency and commodities business mainly but covering all businesses in the country
• Work with different Local and Global teams i.e. Local Boards, Alco’s, regulators, Risk Architecture etc. -
• Risk assessment to calibrate results of risk analysis to identical standards as those specified for other risk measures, e.g., stress testing (global systemic and business specific), integrated VaR and Stress Testing, and risk capital, for all models used by the IInstitutional Corporate Group’s Global Markets team globally.
• Ensure all roles and responsibilities listed in below polices:
• MRAP – Accrual Policy (30)
• Liquidity Policy (21) c) Rules Governing Market Risk (11)
• Material Tier 3 Limit Guideline (2)
• Model Control Policy (11, 2 MRM specific)
• Price Verification process (4)
• Derivatives and Structured product Marketing andSales Policy (2)
• Trading desk mandates and PPL - Policy (19)
• CMAC Policy (3)
• Cross-Border Risk Policy and Standards (6)
• Investment Securities Policy (6)
• GOT (new Transfer Pricing Governance) (2)
• ALCO Operating Guidelines (1)
• Off-Market Transaction Policy (1)
• Aged Inventory (6)
• Rules Governing Trading Book Boundary for Reg. Capital (9)
• Rules Governing the Extensions of Credit (1)

Job Background/context

Country / Cluster Market Risk Manager (MRM) is responsible for overseeing all of Citi’s market risk-taking activities in all legal vehicles within the given scope. Such market risk includes all trading, accrual (funding), balance sheet, capital and liquidity risks in Global, Corporate and Global Consumer Banks within the Citi family of companies. Country / Custer MRM will be required to liaise with a wide range of constituents, including local business treasurers and senior management; other Global, Regional and Local Market Risk Managers as well as Country Cluster CROs, Citi Treasury, Risk Architecture, Financial Control, Credit, Global Country Risk departments and various other support units

The successful candidate will understand modelling of a variety of derivatives products in order to develop a framework for consistent risk identification, stress estimation, calibration and reserves methodology.

Country / Cluster Market Risk manager holds ultimate responsibility for ensuring that risk limits accurately reflected current or expected market conditions. Also oversees regional MRM analysts in identifying and specifying all relevant market factors for each risk-taking unit to relay the requirements to Risk Architecture. Candidate will jointly establish with Risk Architecture, global standard stress test scenarios and proposed the parameters of the business stress tests. Further, candidate will successfully ensure that business stress tests are consistently developed across businesses by reviewing the Market Risk Reports for reasonableness, consistency and completeness ensures complete and consistent implementation of Market Risk Policies, Market Limits Policies, Model Control Policies, Accrual Policies, and Liquidity Policies for mentioned county / cluster coverage.

This role plays a technical and but practical role in helping the firm to improve market risk governance and framework to ensure a strong control environment in all risk taking environments.

Key Responsibilities

• Supports Market Risk management, balance sheet management, accrual risk and liquidity risk management in the country/ cluster
• Keep up with strategies of risk taking units and assist in development of and approve market risk program, ensuring all market risk are adequately covered.
• Ensure identification and measurement and analysis of all market risk exposures against approved limits independently.
• Ensure identification and measurement and analysis of all liquidity risk exposures against approved limits independently.
• Ensure identification and measurement and analysis of all accrual risk, transfer pricing process from interest rate risk transfer point of view.
• Collaborate with senior management Board of Directors, Alco, Senior management, CCC and regional/ Global risk management teams regarding recommendations, application for limit changes, rationales, risk appetite and stress test assessments if needed.
• Attend periodic meetings for all market. Accrual and liquidity risk related items with front office, sometimes traders, business i.e. corporate banking, commercial banking, consumer banking groups, as well as with market risk managers, product control and finance, valuations and control group, and take a lead on the items related to his area.
• Frequently reviews market and liquidity risk management policies, ensures that all policy requirements and processes are applied, updated, maintained as per policy needs. Ensures all roles and responsibilities in these polices are done.
• Adopts all these policies in the country/ cluster/ region as per changes in business, organization and legal environment.
• Approves, endorses Liquidity, accrual and or trading limits / Packs as per delegations given.

Development Value

This is a role which is also required as per local regulatory body in the country. The role will enable the successful candidate to demonstrate independent thought, project management ability to implement changes, all the while meeting senior members of Country/ Cluster trading teams as well as business teams, Finance, Technology in addition to other areas of Risk Management while keeping the self-motivation at the top level as it will be 1 person covering various number of countries MRM role.

Knowledge/Experience

• In-depth understanding of Complex treasury products, derivatives, financial markets behavior, market characteristics of products including a variety of underlying asset classes
• In-depth knowledge of Citi Global policies, market risk global models, Citi organization so to have a smooth transition to country management.
• An understanding of markets including liquidity, balance sheet management, market volatility, across a broad range of financial instruments as well as across different books.
• Prior experience in Global and or regional Market risk team, Institutional Corporate Group risk team, other risk management roles and or Trading role is a plus as well as familiarity with Citi systems

Qualifications

• Self- motivated
• Relevant experience and an in-depth understanding of markets and the financial services sector.
• Preferably a postgraduate degree in a quantitative or financial discipline.
• Preferably min 5 years’ experience within Market risk and/or Treasury or relevant yet diverse Risk/Finance background
• Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

Skills

• Attention to detail and strong analytical and technical skills
• Advanced interpersonal and communication , representational skills given the need for frequent interaction with senior management across both business and control functions as well as different platforms ie Board of Directors, local regulatory bodies/ platforms, Alco’s ,Regional platforms etc.

Competencies

• Readiness to use initiative with limited supervision
• Ability to work well in groups and flexibility in addressing a number of projects simultaneously
• Willingness to resolve conflicts and work well under pressure
• Ability to evaluate both strategic and tactical issues related to the business

Should the Business Head and HR deem there to be high potential candidates who do not fully meet the inherent requirements of the role the candidate may be considered for the position, provided they have certain skills and experience which are closely related to the role. In the exceptional cases where we hire a more junior candidate, HR may require to bring in the candidate at the appropriate grade than the one advertised to maintain internal equity. In these cases the Business and HR will work together to determine a formal development plan for the candidate to get them up to the appropriate grade

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 values to decisions or actions and organisational success.

Citi is an Equal Opportunities Employer