The Global Rates Team within the Market Risk Management group is responsible for the oversight of this business. This role is for a senior market risk manager covering G10 Rates Non-Linear business, responsible for independent risk oversight, challenge, and analytics across complex derivatives portfolios, with direct engagement with trading and senior management.
The G10 North America Rates Trading business is a significant franchise providing interest rate market-making and client solutions across a wide range of products, from sovereign bonds to exotics. The Non-Linear business trades inflation products, vanilla interest rate options, exotic derivatives, and bond-related instruments.
The successful candidate will build effective relationships with the front office, risk colleagues, and partner functions; challenge assumptions; and operate comfortably in a quantitatively complex environment. The role requires a willingness to work at a detailed level while consistently delivering high-quality, insightful analysis. Developing and maintaining strong technical expertise in interest rate products and market risk methodologies is essential.
Role Responsibilities:- Accountable for identifying, evaluating, and proactively managing market risks generated by the G10 NAM Rates Non-Linear business, including the identification of top risks and outlier stress scenarios, and the design and execution of ad hoc stress analysis.
- Partner with trading desks to provide independent oversight and constructive challenge on risk-taking activities.
- Engage in detailed analysis of non-linear products and risks, including developing tools to analyze market data, portfolio exposures, and individual trades.
- Ensure the accuracy and completeness of reported exposures, including identification and resolution of data issues and coverage of key risk drivers and potential P&L impacts.
- Oversee the setting and monitoring of risk limits, and contribute to the development and production of metrics supporting regulatory requirements and stress testing processes.
- Produce periodic materials and presentations for senior management and regulators, and provide clear, timely commentary on positions and market developments.
- Review and challenge assumptions in risk models used by the business and assess the impact of model changes.
- Partner closely with Financial Control, Price Verification, and Model Validation teams to ensure robust and effective control frameworks.
- Contribute to the review of new business proposals, including risk limit setting and monitoring, and ensure risks are fully captured within firm systems.
Experience / Competencies:- Relevant experience in rates non-linear markets, with a solid understanding of products, markets, and associated risks.
- Strong quantitative understanding of rates products and the key drivers of their risk profiles.
- Experience with portfolio risk measurement techniques, including VaR and stress testing.
- Effective relationship management across all levels of the organization, with the ability to engage constructively and provide challenge, particularly to the front office.
- High standards for data integrity and analytical quality, with a focus on delivering clear, timely, and insightful outputs. Comfortable deep-diving into detail to resolve issues and managing time effectively in a fast-paced environment.
- Strong communication and presentation skills.
- Bachelor's degree required; a Master's or PhD is advantageous. Familiarity with financial or statistical modeling is beneficial.
- Advanced Excel skills and proficiency in Python and SQL are desired to drive analytics, automation, and scalable risk insights across large datasets.
- Comfortable using artificial intelligence tools to support risk analysis and improve efficiency.
Job Family Group: Risk Management
Job Family:Market Risk
Time Type:Full time
Primary Location:New York New York United States
Primary Location Full Time Salary Range:$176,720.00 - $265,080.00
In addition to salary, Citi's offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.
Most Relevant Skills Analytical Thinking, Credible Challenge, Governance, Policy, Procedure, and Regulation, Portfolio Analysis, Risk Management Lifecycle.
Other Relevant Skills For complementary skills, please see above and/or contact the recruiter.
Anticipated Posting Close Date:Jun 18, 2026
