Non-Trading Market Risk - IRRBB, Vice President

Citibank (Switzerland) AG; Mississauga; Hybrid; CAD 180,000 - 250,000; Full time

Job summary

Citibank (Switzerland) AG in Mississauga invites a Vice President to lead second line risk oversight for non-trading market risks, with focus on IRRBB and Treasury investments. The role collaborates across global teams to challenge models, limits, and stress tests while ensuring governance and control processes meet regulatory standards.

The ideal candidate has deep risk analytics, fixed income knowledge, strong communication, and a team-oriented mindset, with 5–10 years of relevant experience.

Qualifications

• Bachelor’s degree in economics, finance, or quantitative field.
• 5–10 years of experience in Risk Management, Treasury, Capital Markets or related functions.
• Strong analytical and mathematical capabilities with fixed income knowledge.
• Excellent written and verbal communication skills.

Responsibilities

• Ensure second line independent market risk oversight of IRRBB.
• Review IRRBB risk identification activities performed by the first line units.
• Challenge IRRBB proposals on entity limits, assumptions, and models.
• Monitor drivers of significant movements in IRRBB exposures and pricing risk.
• Coordinate development of Non-Trading Market Risk frameworks, policies and procedures.
• Review risk management processes for conceptual soundness and potential limitations.

Skills

Risk management

Analytics

Market risk

IRRBB

Fixed income analytics

Quantitative skills

Communication

AI tools

Education

Bachelor’s degree in economics or finance

Master’s degree preferred

Tools

AI tools

Job description

## Non-Trading Market Risk - IRRBB, Vice PresidentApply: Hybrid: Mississauga Ontario Canada: Full time: Posted Today: 26998336The 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.