GSP In-Business Risk Securitized Products - Director

Job description

Spread Products In-Business Risk (IBR) is a Front Office 1st Line of Defense Team responsible for market risk and capital management within Citi’s Spread Products business. Spread Products IBR covers all Spread Products trading and financing businesses globally. This role is specifically focused on Agency and Non-Agency Mortgages, with a more significant focus on Agency Mortgages. The main focus of this role is a coverage of portfolio risks arising from trading and financing activities across Agency and Non-Agency Mortgages, with a greater focus on Agency Mortgages. Key Responsibilities include: -Identify and monitor key systemic and idiosyncratic risks across Agency and Non-Agency Mortgage trading and financing businesses, including frequent discussions with the head of Spread Products, head of Spread Products IBR and heads of Agency and Non-Agency Mortgage Trading. -Closely track position level performance on a regular basis, understand the drivers of market movements across different asset classes, analyze notable trends to form relative value and forward-looking view of material, concentration, and emerging risks. -Design and implement consistent risk metrics that explain the p...