Job Purpose:

This role will form part of the Trading Book Market Risk team, supporting the respective asset classes with the second-line oversight with a focus on Equity market risk and legal vehicle reporting of high frequency e-trading activities across all firm activities which is currently concentrated in London, New York and Asia.

Job Background / Context:

This role will report into the Head of EMEA Market Risk Management, and is a critical part of the ICG franchise given the significance of the legal entities covered, most notably CGML, CBNA, CGMHKH and CGMI.

The key aspects for the e-trading role will be to independently assess and understand the current usage of the e-trading activities within the respective asset classes, understand the existing business growth in e-trading and ‘electrification’ and to ensure the second-line collectively design and maintain a risk management and control framework that incorporates market risk management.

The role will be required to understand the distribution channels where e-trading is deployed and the technology used to support them and subsequently develop and maintain a risk framework including overseeing adherence to Risk appetite, change management of e-trading practices and second-line oversight of limit frameworks and relevant stress analysis

Key Responsibilities:

The officer will be accountable for:

• Identification and categorisation of the risks associated with Trading Book Market as well as e-trading activity booked on respective legal vehicles.
• In coordination with Markets Security Services (MSS) and other Risk functions, enhance the existing framework and validate the ongoing market risk management framework development.
• Review potential market impact and ‘run-away’ risk on e-trading activity.
• Understanding the universe inventory of e-trading activities and engage in control processes such as NPAC where new Algos are being used; reviewing intraday Algo’s exposure to identify and control ‘run-away’ risk.
• Challenge business risk appetite and co-ordinate a limit structure used to monitor e-trading activity
• Ensure the combination of technology and financial modelling is adequately overseen and challenged including the independent review of Algo strategies and the changes to trading assumptions within Algos.
• Be actively engaged in the operational and appropriate resilience of stress testing
• Reviewing, challenging and approving the use of Algo’s.
• Proactive engagement with all governance forums
• Partnering the other second line of defence colleagues in existing LTA processes and future initiatives.

Development Value:

• This role will provide unique visibility, cross-functional and cross-Risk experience and knowledge. The position involves a significant amount of interaction with senior management and direct involvement in a variety of the critical strategic projects within Citi. The role will provide a strong understanding of the regulatory environment, the respective businesses and Risk governance. Opportunities also exist to broaden the breadth of cross firm experience across the products and functions in a general senior management leadership role.

Knowledge/Experience:

• Knowledge of Citi’s markets businesses
• An understanding the market micro structure and markets operating environment.
• Familiarity with algorithms and e-trading, in particular FX and Equities.
• An understanding of the current electronic trading regulatory framework in particular MiFID II
• Previous experience as a trader or risk manager is preferred.
• Programming skills – Python or R preferred.
• Some exposure to AI, Machine Learning will be considered a significant plus in the selection of the successful candidate.
• Strong analytical skills with working knowledge of the principles of credit risk and/or market risk, capital markets and finance. 
• Understanding of Citi’s business model and/or other financial institutions.
• Experience of legal entity risk

Skills:

• Exceptional writing skills, with ability to synthesize complex concepts, translate into "user-friendly" language, and effectively present in text or slide format
• Strong quantitative and spreadsheet skills, ability to analyse and interpret date
• Diverse and wide range of skills and knowledge / expertise
• Strong organisational skills and the ability to multi-task effectively in a high-volume and complex environment with changing priorities
• Strong quantitative skills, particularly around statistics and strong attention to detail

Qualifications:

• Graduate degree

Competencies:

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.