Risk - CGME Senior Manager of Stress Testing and Quantitative Risk Support for ICAAP (M/W/D) - SVP
The focus of the role will be to act as the main point of contact within the legal entity for quantitative risk models around ICAAP and regulatory stress testing including EBA Stress Test.
This will include the franchise’s management and governance of the models as well as their appropriate and accurate reflection in Pillar 2 assessments and regulatory submissions. As a consequence, the role will entail top-level exposure across all businesses operating within CGME.
Additionally, the role will require close collaboration with Citi’s other Eurozone legal entity in Dublin, close collaboration with related model development teams in Citigroup, as well as close interaction with Risk Management and Finance Department being the users of the ICAAP and Stress Testing models
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 Pillar 2 and stress testing model expertise in Germany.
Legal Entity Quantitative Risk Support (LEQRS) sits within Quantitative Risk & Stress Testing (QRS), 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.
Legal Entity Quantitative Risk Support 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.
Responsible for the modelling aspects of stress testing and economic capital requirements for ICAAP including scenario design, also including EBA Stress Test
Responsible for model risk compliance for all stress testing and ICAAP model uses, requiring close collaboration with QRS model development teams in different locations to ensure models are fit for purpose for legal entity use
Provide analytical support to other functions and processes within legal entity, such as risk management and finance
Lead interactions with regulator regarding stress testing and ICAAP modelling requirements
Oversight of key stress testing and ICAAP change initiatives for CGME
Becoming subject matter expert for all ICAAP and Stress Testing models applied in CGME
Leading the governance process around those models
Develop strong network with senior management, as well as with global stakeholders
Being main contact for regulator on related model topics
Post-graduate Degree in Economics, Finance, or another quantitative field (Mathematics, Statistics, Physics, Computer Science, etc.)
8+ years of experience in financial services sector, in roles requiring superior problem solving analytical capabilities; must include experience across multiple risk stripes in financial model development or validation
Line-management experience preferable
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
Experience interacting with regulators on model-related topics
Up-to-date working knowledge of regulatory requirements and change, specifically those from Basel and European regulatory authorities
Experience in ICAAP models for market and counterparty credit risk
Knowledge on EBA Stresstesting and related modeling requirements
Strong analytical skills & proven ability to solve problems independently
Strong project management skills, with ability to build relationships confidently at all levels
Exceptional writing skills, with ability to synthesize complex technical information
Track record of success in delivering high quality work in a fast paced and dynamic environment
Job Family Group:Risk Management
Job Family:Risk Analytics, Modeling, and Validation
Time Type:Full time
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