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Enterprise Risk Management - VP

Job Req ID 22561781 Location(s) Mumbai, India Job Category Risk Management
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Enterprise Risk Management (ERM) is a part of Citi’s Risk Management organization that is responsible for Enterprise-level risk identification, management, and analytics, including stress testing across multiple asset classes and risk stripes. The enterprise-level stress testing program is sponsored by the Citigroup CRO, who reviews the stress testing results with the rest of the executive management team.

The Enterprise Risk Management VP position sits within the Portfolio Analytics team which is a part of ERM. Portfolio Analytics is broadly responsible for end-to-end stress testing at Citi, including stress testing for both periodic (Global Systematic Stress Tests) and rapid (event-based) stress tests as well as related methodologies and policies. Global Systematic Stress Test (GSST) is a Firm-wide periodic stress testing program that estimates the Firm’s stress loss across several stress scenarios informed by the Firm’s risk identification process and a variety of risk types.

The ERM group is a relatively new group within Risk Management to create a holistic view of enterprise-wide risk across business segments and risk types. There will be opportunities for the candidate to learn and grow within this team and the wider risk management function of the bank.

Key Responsibilities:

  • Assist with conducting Enterprise-wide rapid stress testing exercises, aimed at early identification of emerging risks, their quantification, and assessment of need for potential actions by management aimed at reducing said emerging risk.
  • Work closely together with other teams within ERM as well as with Risk Reporting, Data Analytics and Technology to apply stress scenarios to live risk exposures, estimate losses under each scenario, assess resulting losses in the context of the Firm’s risk appetite, aggregate, interpret and present key findings in concise and impactful visual form.
  • The mandate of the Enterprise-level Stress Testing Expert is to help retrieve and consolidate the relevant data for rapid stress testing exercises, support bespoke quantitative framework development and delivery, as well as create relevant reports and presentation materials for Citi’s top management and the Board of Directors.

Skills and Experience:

  • Extensive experience in Financial Services or Economics consulting, Risk Management or Finance function within a bank, or relevant front-office/business/consulting role.
  • Proficiency in data visualization and presentation (PowerPoint, Tableau, Excel) gained in client facing (consulting/research/risk) necessary as is ability to present complex messages in succinct manner to stakeholders.
  • Experience in financial modelling, covering data cleaning, modelling, and testing.
  • Hands-on understanding of modern financial markets and products, as well as relevant pricing models.
  • Working knowledge of general-purpose programming languages (e.g., R/Python) is preferred, additional knowledge of SQL/data management tools.
  • Familiarity with relevant regulatory guidance (ICAAP, CCAR) and experience in conducting macroeconomic/market stress tests is preferred.
  • Superior problem-solving skills with the ability to deliver under tight timelines and with 'can do' attitude is required.

Education:

  • Graduate degree in Finance, Economics, Statistics, or another field with quantitative focus.
  • Alternatively, an undergraduate degree with additional years of relevant work experience in financial services or financial/economics will be considered.

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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:

Full time

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