Job Description
Citibank, N.A. seeks a Risk Reporting 2LOD Sr. Analyst for its Getzville, New York location.
Duties: Review and submit daily regulatory reports, including Value-at-Risk (VaR) and Stressed Value-at-Risk (Stressed VaR) for portfolio limits, factor sensitivity by risk asset class, and global stress testing limits. Provide ad hoc in-depth data analysis of key drivers of risk to support Market Risk Management when there are unexpected VaR moves using Excel, VBA, and Access. Monitor daily exposure changes and coordinate with Risk Management to make sure Top of the House Limits are correctly reflected in Limit Central. Perform regulatory VaR back-testing required for evaluation of the VaR model used in calculation of risk-based capital and can impact the capital multiplier. Perform the daily back-testing by benchmarking Basel 3 Monte Carlo simulation VaR against historical profit and loss. Use knowledge of VaR and buy and hold profit and loss for timely follow ups. Perform analysis o...
Duties: Review and submit daily regulatory reports, including Value-at-Risk (VaR) and Stressed Value-at-Risk (Stressed VaR) for portfolio limits, factor sensitivity by risk asset class, and global stress testing limits. Provide ad hoc in-depth data analysis of key drivers of risk to support Market Risk Management when there are unexpected VaR moves using Excel, VBA, and Access. Monitor daily exposure changes and coordinate with Risk Management to make sure Top of the House Limits are correctly reflected in Limit Central. Perform regulatory VaR back-testing required for evaluation of the VaR model used in calculation of risk-based capital and can impact the capital multiplier. Perform the daily back-testing by benchmarking Basel 3 Monte Carlo simulation VaR against historical profit and loss. Use knowledge of VaR and buy and hold profit and loss for timely follow ups. Perform analysis o...
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