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Risk - CGME Manager of Risk Analytics Model Governance (M/W/D) - VP

Job Req ID 21377626 Primary Location Frankfurt am Main, Germany Job Category Risk Management
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Job Purpose:

CGME Quantitative Risk Support / Model Governance is responsible for the implementation of regulatory requirements relevant to the models developed by the Risk Modelling Analytics department, the regulatory interaction pertaining to these models and the associated governance.

Its role is to:

  • Engage with internal stakeholders for the implementation of regulatory requirements pertaining to internal risk models (Pillar 1 and 2)

  • Scope, manage, coordinate and collate material requested by regulators for regulatory exams and visits by liaising with stakeholders internally for the generation and collation of replies to regulatory questions

Job Background/Context:

As part of the implementation of Citi’s transformation of CGME into an EEA investment firm in Germany, this new role is required to strengthen the risk model governance expertise in Germany.

Legal Entity Quantitative Risk Support (LEQRS) is responsible for Pillar 1 advanced approaches, coordination and governance for Citi’s international material legal entities in EMEA and APAC, ICAAP coordination and production for Citi’s EMEA legal entities, ICAAP and regulatory stress testing coordination and production for Citi’s Eurozone legal entities, and ICAAP and regulatory stress testing coordination for Citi’s other legal entities in APAC, EMEA, and LATAM regions.

LEQRS is a partner department of Risk Modelling Analytics (RMA), which has a mandate to provide analytics and analyses to Independent Risk Management and other partners across Citi. The team develops credit, market, and counterparty risk analytics to consistently measure risk, optimize capital, dimension risk appetite, and allocate these metrics to businesses and geographies; as well as supporting Basel, internal and external stress testing (including ICAAPs, EBA Stress Testing, and CCAR), and loan loss reserve processes

Key Responsibilities:

  • Support the coordination and organisation of regular reporting, related to internal models, to the regulator, as required, through:

    • Multifunctional co-ordination/interaction with stakeholders for the collation of material

    • Review reports with relevant Senior Management, obtain sign-off and submit to the relevant regulatory authorities

  • Organise, manage and coordinate the notification of model changes and extensions, under IMM and IMA, to the Regulator by:

    • Communicating with internal stakeholders to obtain necessary documentation and impact analyses to support model changes

    • Organising, assist with scoping and co-ordinating required self-assessments

    • Complete, agree and submit model change pro-formas and/or other documentation, as required by the relevant regulator

  • Co-ordination of Regulators’ Information Requests prior to regulatory visits and production of replies to their formal Feedback Letters, as required, by:

    • Communicating to internal stakeholders to obtain their engagement

    • Collation of replies and supporting material and review and agree with relevant stakeholder senior management

    • Agreement of follow-ups with the regulator during the regulatory visit and produce written record thereof

    • Draft formal reply to the regulator and review, agree draft with relevant management and obtain required sign-off

  • Support the implementation of relevant BaFin/Deutsche Bundesbank/EBA regulatory requirements as they pertain to internal risk models by reflecting these in relevant internal procedures, policies and/or Committee Terms of References, as required, by:

    • Reviewing requirements and communicate key points to relevant stakeholders to get engagement and buy‑in

    • Generating and/or update relevant procedures, policies or Terms of Reference

    • Discuss with stakeholders and obtain required internal approvals

  • Arranging, co-ordinating and assisting with running of the meetings of governance forums for the review of model performance and related regulatory questions, by:

    • Developing and agreeing with stakeholders relevant Committee and/or Working Group agendas and the co-ordination of materials to be presented to the Committee

    • Reaching out and engaging with relevant stakeholders, as required

    • Recoding the relevant Committee and/or Working Group meetings by circulating, agreeing and finalising the relevant minutes

    • Creating and maintaining the relevant governance forum action log, track actions and provide status updates to management

Development Value:

  • Leading the governance process around the respective risk models, incl. development of strong expertise across those models

  • Develop strong network with senior management, as well as with global stakeholders

  • Being main contact for regulator on related model topics

Qualifications:

  • 5+ years of working experience in banking or consultancy or advisory firm

  • Excellent academic background, advanced degree in economics or finance or related discipline would be desirable

  • Fluent in both written and spoken English; German is also a plus

Experience/Knowledge:

  • Regulatory interaction through roles in Market risk and/or Counterparty Credit Risk management or regulatory capital policy and reporting.

  • Relevant working experience in wholesale banking and exposure to standard market products and models; a good appreciation of basic principles associated with risk models like measures like EPE, EAD etc. and related models would be key

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

  • Governance type of work including Committee and Working Group meetings of experts to review model performance related questions, ensuring key regulatory issues are also discussed as they relate to internal models

  • Relevant working experience in a bank, consultancy or advisory firm would be considered

Competencies

  • Highly motivated, with ability to work both independently and collaboratively

  • Logical and thoughtful approach to work, with ability to perform well under pressure to meet tight deadlines

  • Giving careful attention to detail, whilst also considering bigger picture and wider implications

  • Capable of delivering high quality results, with challenging but positive influencing style

  • Keen ability to develop an agenda and influence others to drive its implementation are critical success factors

Skills:

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

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

  • Flexibility to work with colleagues and stakeholders in an international team operating across different regions and time zones

  • Excellent organizational and project management skills

  • Strong writing skills, with ability to synthesize complex technical information

  • Strong analytical skills & proven ability to solve problems independently

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

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

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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”) 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 Accessibility at Citi.

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View the EEO Policy Statement.

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