Risk and Return Framework and Analytics Risk Officer - Hybrid

The Risk Quantification Group is a global utility within the PBWM Franchise Risk Organization. The purpose of this group is to coordinate stress testing exercises across all risk categories to identify and manage concentrations, oversee the implementation of an integrated and synchronized risk appetite limit framework, and drive standardization and governance of risk/return metrics for portfolio optimization. This Risk/Return framework role is responsible for driving the standardization of risk/return metrics and usage across PBWM used for strategy setting. The reliability and consistency of the measures is critical to the successful deployment of the risk appetite program, including risk appetite statements, risk/return framework, limits and tolerances, and business decision making. This role supports the initiative with Business Risk Officers, Independent Risk Management, Finance Planning & Analysis, and Treasury in order to:

• Comply with Global Policies (Risk Appetite Policy, Global Consumer Credit and Fraud Risk Policy).
• Implement risk/return framework, inclusive of use of forward-looking metrics, per Enterprise Risk requirements.
• Update, document, and communicate risk appetite ratio and Return on Tangible Common Equity (RoTCE) calculation, as new capabilities become available (e.g., direct stress testing), with review and approval by Independent Risk Management.
• Define and document TCE attribution and risk-return hurdles for PBWM.
• Conduct impact analyses of updated risk-return metrics in credit strategy decision making for USPB and GWM.
• Build scalable and sustainable capability to attribute and calculate granular level metrics, coordinating with Data Governance and IT.
• Provide Business Requirements to incorporate metrics into risk oversight platforms.
• Identify key controls for incorporation into Activities, Risks, Controls and Monitoring (“ARCMs”) and Managers Control Assessment (“MCA”). 

The operationalization of these metrics is tied to Citi-level regulatory matters. This individual exhibits a passion for risk management and understands consumer and wealth management lending business profitability and measures for evaluating risk and reward trade-offs, and stress loss absorption. In addition to having very strong quantitative expertise, this role must have strong process and project management skills, with an eye towards sustainability and control. 

Core Responsibilities:

• Own regulatory risk project management of risk/return metrics such as RoTCE, risk/return framework and operationalization of the chosen metrics and framework into the 1st line risk management strategies including creating work streams, business requirements, analysis and testing) for delivery of regulatory solutions
• Define/standardize and document risk/return metrics, required hurdles and its framework for PBWM. Understand the drivers of RoTCE such as ENR, RWA, TCE, NI
• Conduct impact analyses of updated risk-return metrics in credit strategy decision making for USPB and GWM
• Conduct analytics to showcase the benefits of using the new framework by collaborating with In-Business Risk team in PBWM
• Work closely with cross-functional teams including IT to build scalable and sustainable capability to attribute and calculate granular level metrics, coordinating with Data Governance and IT.

Qualifications:

• 6 - 8 years of experiences and 5+ related analytical/technical experiences required
• Strong technical and analytical capabilities to develop quantitative solutions
• Solid experiences in the following areas:
  • Credit risk management
  • P&L drivers
  • Advanced technical skills and strong analytical skills/mindset.  Hands-on experiences in SAS/SQL, Knowledge Studio, Microsoft Office applications and Business Intelligence reporting tools etc.
  • Data Warehouse and other relational databases
  • Relevant experiences working with IT to implement solutions to suit business needs

• Collaborative work style; effectively interacts with partners across organizational boundaries and hierarchies
• Consistently demonstrate clear and concise written and verbal communication

Education:

• Bachelor’s degree required, master’s degree in a quantitative discipline preferred

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

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