Job Description

Assistant Vice President, OTC Derivatives Valuation & Middle Office

Job Background/Context:

The OTC Derivatives Valuation & Middle Office department consists of a team of subject matter expert in OTC derivatives in both OTC valuation and middle office space. The team is responsible for the post trade activities across all OTC asset classes held by the clients of Citi\xe2\x80\x99s Securities Services business globally. Our clients are primarily external asset managers, investment managers and fund managers.

Job Purpose:

The successful candidate will be a key member of OTC Derivatives Valuation & Middle Office team in APAC. The individual will have the opportunity to collaborate closely with existing teams in the EMEA, North America regions and support team in India in both BAU and various projects and initiatives. This role provides a unique opportunity to work on and expose on a wide range of OTC derivatives instruments and industry leading software for derivatives valuation process.

Key Responsibilities:

• Provide oversight and act as checker to the daily production of OTC derivatives valuation to meet various internal and external SLAs.
• Answer price challenge queries and provide justification for valuation movement when required by downstream teams or clients.
• Investigate and resolve any open issues related to OTC trades and valuation with counterparties, vendors and/or clients.
• Provide oversight, guidance and support to the processing teams in India in carrying out daily processes.
• Identifies process gap and implement improvement to the process.
• Take a leading role in projects, client on-boarding, product testing, migration, system upgrades and implementations that might arise with the growth of the business.
• Liaise and collaborate with various other departments within the wider organization of Securities Services such as Fund Accounting, Implementation, Change team and Middle Office in daily process and various initiatives.
• Experience in derivatives middle office is an advantage.

Knowledge/Experience:

• Minimum 3 years\xe2\x80\x99 of relevant experience (e.g. Derivatives Valuation / Derivatives Pricing / Valuation Control / OTC Product Control / Valuation Validation, etc.) is highly valued for this role.
• Experience in at least one asset class area of derivatives e.g. Rates, Credit, FX, Commodities, and Equity is required. Working experience in multiple asset class area of derivatives is a strong plus.
• Knowledge or working experience of derivatives valuation, P&L explain/attribution, sensitivities and Greeks will be a strong plus.
• Knowledge of S&P Portfolio Valuation (formerly known as IHS Markit), ICE Data Derivatives (formerly known as SuperDerivatives), Bloomberg and Calypso (became part of Adenza) is an added advantage.
• Advanced knowledge of Excel is required and coding knowledge with VBA will be a plus.

Education:

Minimum a Bachelor Degree in Business, Accounting, Finance, Quantitative Finance, Financial Engineering or other technical fields.

Master Degree in Quantitative Finance or Financial Engineering or Applied Finance or related field will be an added advantage.



Job Family Group: Operations - Transaction Services



Job Family: Securities and Derivatives Processing



Time Type: Full time



Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi\xe2\x80\x9d) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review .

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