Non-Trading Market Risk - IRRBB, Vice President

Citi; Mississauga; On-site; CAD 159,000 - 230,000; Full time

Job summary

Citi in Mississauga seeks a Vice President for Non-Trading Market Risk Management to oversee second-line risk controls for IRRBB and related market risk activities within Global Finance. The role emphasizes governance, policy development, and cross-border collaboration with a global team.

Responsibilities include challenging IRRBB assumptions, monitoring exposure drivers, and coordinating frameworks and procedures to ensure robust risk management across capital markets and treasury investments.

Qualifications

• Broad understanding of risk management and analytics.
• Strong knowledge of capital markets products.
• Experience in market risk management preferred.
• Familiar with IRRBB, investments and balance sheet activities.
• Excellent quantitative and technical fixed income analytics.
• Strong written and verbal communication skills.
• Team-oriented with ability to work globally.
• Detail-oriented and highly motivated.
• Proficient with company-provided AI tools.

Responsibilities

• Ensure second line independent market risk oversight of IRRBB and market risk management of Treasury Investments.
• Review IRRBB risk identification by first line units.
• Challenge IRRBB proposals on entity limits, assumptions, models, and transfer pricing.
• Monitor drivers of movements in IRRBB exposures including pricing and curve risk.
• Monitor Non-Trading Market Risk stress loss limits and actions.
• Coordinate development of Non-Trading Market Risk frameworks, policies and procedures.
• Coordinate review and challenge of New Activities proposals.
• Review risk management processes for conceptual soundness and limitations.

Skills

Risk management

Analytics

Capital markets

Market risk

IRRBB

Fixed income

Communication

Teamwork

Attention to detail

AI tools

Education

Bachelor's degree in economics/finance/quantitative field

Master’s degree preferred

5-10 years risk/treasury/capital markets experience

Tools

AI tools

Job description

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.

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.

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.

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:

• Broad understanding of risk management and analytics
• Strong analytical knowledge of capital markets products
• Experience in market risk management preferred
• Familiar with interest rate risk in banking book, investments, and balance sheet management activities
• Excellent quantitative and technical skills on fixed income analytics
• Strong written and verbal communication skills
• Goal driven with excellent ability to work within a team globally
• Highly motivated with attention to detail
• Proficient with AI tools provided by the company

Education:

• Bachelor’s degree with strong academic record in economics, finance or other quantitative field. Master’s or higher degree is preferred.
• 5-10 years Experience in Risk Management, Treasury, Capital Markets or other functions within a financial services sector.

Job Family Group:

Risk Management

Job Family:

Finance Risk

Time Type:

Full time

Primary Location Full Time Salary Range:

$111,600.00 - $161,600.00

Most Relevant Skills:

Analytical Thinking, Credible Challenge, Financial Analysis, Governance, Policy, Procedure, and Regulation, Risk Management Lifecycle.

Other Relevant Skills:

Data Analysis, Laws and Regulations, Management Reporting, Policy and Procedure, Referral and Escalation, Risk Controls and Monitors, Risk Identification and Assessment, Risk Remediation.

Automated Processing and AI:

We use automated processing, including artificial intelligence, for our legitimate business interests (or our reasonable and appropriate business purposes) to identify and align the candidate's skills and abilities with a specific job opening. Additionally, if you so choose, or consent, we can match your skills and abilities to other suitable roles at Citi.

Importantly, all our hiring processes and decisions, including determining your suitability for a role, are conducted, checked, and decided by individuals. Our automated processing and AI do not involve relying on automatic or autonomous decision-making. Please refer to any Jurisdictional Considerations, with specific provisions for your country (where relevant) for further details.

This job opening is for an existing job vacancy.

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