The Chief Risk Officer for Finance (Finance CRO) organization provides risk management oversight of the Global Finance function, including effective risk challenge and mitigation of risk for capital, liquidity, interest rate risk and Treasury investments, and ensures compliance with all risk-related regulatory requirements. In addition, the team oversees the key risk management methodologies and calculations, including CECL and IFRS9 for credit reserves, and Basel Advanced RWA
Non-Trading Market Risk Management group, as a part of the Finance CRO organization, is responsible for independent risk management of non-trading market risk, including interest rate risk in the banking book as well as market risk management of Treasury Investments. It identifies, measures, and monitors non-trading market risks and it provides independent review and challenge to the first-line activities.
Senior Vice President, Non-Trading Market Risk Management provides independent second line role in Non-Trading Market Risk including Interest Rate Risk in the Banking Book and market risk management of Treasury Investments. Participates in establishment of frameworks for evaluating the impact of adverse Non-Trading Market Risk events and circumstances on the Firm’s operations and financial condition. Utilizes thorough understanding of methodologies, relevant regulatory requirements, and governance control processes for independent risk management oversight of Non-Trading Market Risk activities. Provides contribution to development of target state strategy of the overall approach to Non-Trading Market Risk programs in alignment with the Enterprise Risk Management Framework.
The role will assist in the implementation and execution of the Non-Trading Market Risk framework and supporting processes across legal entities, geographies, and business segments within the LATAM clusters. The candidate will interact directly with members of Non-Trading Market Risk Management, Legal Entity and Country Risk Managers, Treasury, and business teams, with exposure to senior management.
The role will require review of interest rate risk metrics and processes supporting risk management to identify potential emerging risks or areas of the governance framework requiring enhancement. The role will also provide effective challenge within independent risks in areas related to Interest Rate and ALM risk management. The challenge may require analysis using market and internal data as well as quantitative techniques including statistical analysis.
Responsibilities:
Ensures second line independent market risk oversight of first line including Interest Rate Risk in the Banking Book (IRRBB) and market risk management of Treasury Investments.
Reviews and challenges IRRBB risk identification activities performed by the first line units.
Reviews the challenges IRRBB proposal on entity limits, assumptions, and models, as well as transfer pricing strategies
Monitors periodically, understanding the drivers of significant movements in reported IRRBB exposures of pricing risk, curve risk and optionality
Monitors Non-Trading Market Risk stress loss limits and reviews associated management actions.
Coordinates the development of relevant Non-Trading Market Risk Frameworks, Policies and Procedures.
Coordinates Non-Trading Market Risk review and challenge of New Activities proposals.
Reviews risk management processes for conceptual soundness, fitness for purpose and potential limitations and weaknesses.
Qualifications:
Minimum 10 years of experience within risk management, treasury or support functions with exposure to balance sheet, financial products, financial/risk analysis
General understanding of treasury products – securities, derivatives, and a broad mix of underlying asset classes
Knowledge of market risk/IRRBB/liquidity models and regulatory framework
Prior work experience in the regional markets
Education:
Bachelor’s/University degree on Economy, Business, Math/Engineering; Master’s degree preferred
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.
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Seniority level
Not Applicable
Employment type
Full-time
Job function
Finance and Sales
Industries
Banking, Financial Services, and Investment Banking
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