Head of Risk Analytics, CGME, Director

Job Title: Head of Risk Analytics, CGME, Director

Business: Risk Management

Division: Finance CRO Governance

Officer title: Director

C-Grade: C15

Location: Frankfurt, Germany

Legal Entity: CGME

Job Purpose/Overview:

CGME Risk Analytics Governance (or Model Governance) is responsible for the implementation of regulatory requirements relevant to the models developed by the risk model development departments, the regulatory interaction pertaining to these models and the associated governance.

The role of the team is to:

• Engage with internal stakeholders for the implementation of regulatory requirements pertaining to internal Pillar 1 models for market and counterparty credit risk.

• Engage with internal stakeholders for the implementation of regulatory and business requirements pertaining to internal risk models for ICAAP and Stress Testing (Pillar 2), in close partnership with the CGME team responsible for running and analyzing the models and their outputs.

• For the entity CGME, act as the governance focal point for reviewing and ascertaining the ongoing performance of Citi’s Pillar 1 and Pillar 2 models applied in CGME.

Scope, manage, coordinate, and collate material requested by regulators for regulatory exams, internal and external audits, by liaising with stakeholders internally for the generation and collation of replies.

Key Responsibilities:

• Acting as the key contact for the competent authority on Pillar 1 model related topics

• Support for regulatory capital model approvals and set-up of related risk management processes for Citi’s broker-dealer in Germany, including demonstration of appropriateness of models for the legal entity for both Pillar 1 and 2 models

• Ensure compliance with regulatory regime applicable to Citi’s broker-dealer in Germany, responsible for governance process (model control committees) around IMA and IMM model permissions granted by German authorities in respect of market and counterparty credit risk regulatory capital requirements, as well as oversight of related outsourced processes. Additionally, responsible for the governance process (model control committee) for models use in CGME’s ICAAP

• Involvement in analysis and interpretation of key regulatory requirements

• Build-up of local expertise in independent risk models for market risk and counterparty credit risk

• Lead and oversee CGME Risk Analytics Governance and Risk Analytics team in Frankfurt in line with Citi Leadership standards (for DART / Risk Analytics acting as matrix manager)

• Oversight of regulatory/other models-related deliverables for Citi’s broker-dealer in Germany, including remediation of findings and weaknesses found in internal (e.g., validation and internal audit reports for the new legal entity) and external examinations (e.g. examination reports of the German regulatory authorities)

• Ensure adequate and appropriate ongoing performance assessments (OPA) are performed on risk models used by CGME, based on Citi infrastructure and tools, in line with local regulatory requirements, guidance, and expectations

• Participation in model governance/other committees, at country, regional, and global levels, as required

• Provision of ad-hoc model analyses to support local management

• Acting as CGME outsourcing manager for Risk model development and maintenance, in line with local regulatory requirements, guidance, and expectations. This entails, amongst others, to maintain an up-to data outsourcing agreement and performing required outsourcing monitoring activities.

• Specific expectations for People Managers: The people manager is responsible for setting appropriate goals which align to the organisations objectives, managing the overall performance of their team members against their goals, managing capacity of the team, including short and long term absences, and ensuring the team has the required knowledge and skills through training and development (mandatory as well as ad-hoc or otherwise need based).

• Building on your analytical and technical background, we expect you to lead projects and assignments of high complexity within Citi. This is a hands-on role, suited for an experienced professional who can combine deep technical expertise with a broader skillset of managing stakeholders and driving a strategic agenda.

• Appropriately assess risk when decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to policy, applying sound ethical judgment regarding personal behaviour, conduct and business practices, and escalating, managing and reporting control issues with transparency

• Understand the significant conduct risks specific to their product or function and individual role at CGME and comply with the roles and responsibilities defined by Citi’s policies and subordinate policy documents on conduct risk management

Development Value:

The successful candidate will directly support the franchise’s management of market risk and credit risk as well as their appropriate and accurate reflection in advanced regulatory capital requirements calculations. As such, the role will entail top-level exposure across all businesses operating on Citi’s EU investment firm.

• Significant interaction with senior management and regulators

• Develop in-depth understanding of Citi’s internal models and risk management practices for the trading book

• Obtain understanding and insight into key regulations affecting Citi’s use of internal models for calculating regulatory capital requirements

• Develop local and remote people management skills, negotiation skills and influencing skills

• Significant scope for improving processes and practices

Breadth of role will provide significant business and personal development opportunities

Person Specification

• Management experience (either as a line or project manager)

• Exposure to standard market products and models

• Direct interaction with regulators on model-related topics

• Up-to-date working knowledge of regulatory requirements and change, specifically those from Basel and European regulatory authorities

• Market risk and/or counterparty credit risk (highly desirable) or other financial model development or validation

• MaRisk implementation (desirable) or strong understanding of risk management principles

• Strong communication skills and exceptionally good at stakeholder management at all levels

• Excellent organizational and project management skills

• Strong analytical skills & proven ability to solve problems independently

• Excellent interpersonal skills necessary to deal with colleagues at all levels across the firm

• Track record of success in delivering high quality work in a fast paced and dynamic environment

• 10 years of work experience with a minimum of 5 years in quantitative risk management

• Excellent academic background, including advanced degree (e.g. PhD) in quantitative discipline, such as economics, finance, statistics/mathematics, sciences or engineering

• Fluent in English and German, written and spoken

• At least one programming language (desirable)

• Integrity, maturity, dependability, a positive professional attitude

• Ambitious and hard working

• Willing to learn

• Be a team player and get along well with different personality types

• Positive and pro-active attitude

• Ability to manage multiple demands

#LI-PM3

------------------------------------------------------

Job Family Group:

------------------------------------------------------

Job Family:

------------------------------------------------------

Time Type:

------------------------------------------------------

Most Relevant Skills

------------------------------------------------------

Other Relevant Skills

------------------------------------------------------

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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 Accessibility at Citi.

View Citi’s EEO Policy Statement and the Know Your Rights poster.