Head of COBRA (Confirmation of Basel Classification Review and Analysis) Markets Review

The Confirmation of Basel Classification Review & Analysis (COBRA) function provides an independent review and challenge of regulatory capital treatment.

The Head of Markets Review Team serves as the global executive responsible for overseeing the execution of capital reviews of all Markets & Securities Services (MSS) businesses, the scope of which entails approximately $1.4Tn of collateral and $217Bn of Risk Weighted Assets (RWA).

The Head of the Markets Review Team is responsible for managing and directing all aspects of the Markets Review Entities, including the execution of Reviews in accordance with the COBRA Manual. The Markets Review Head provides direction, leadership, and guidance to the COBRA Trading Book review teams that:

• Assess the application of US Basel Rules and calculation of RWA with an emphasis on markets transactions (Basel 2.5)
• Assess the readiness of the firm implementing Basel III endgame
• Assess counterparty credit risk for Securities Financing Transactions and Over-the-Counter transactions
• Assess the consistency of US Basel Rules treatment with Citi’s internal risk management policies and processes and management information reporting systems
• Evaluate whether the Business has deficiencies in their governance and oversight that allows for incorrect RWA calculations
• Provide critical challenge of  appropriateness and sufficiency of regulatory capital top-side adjustments
• Develop and maintain the COBRA Capital Review Plan document, Sample Rationale Document, etc.
• Maintain ongoing contact with an entity through corrective action monitoring

Key responsibilities:

• Represent COBRA globally with the relevant Business, Risk and Finance Seniors including participation in key governance committees and meetings
• Engagement with senior Business Heads, Independent Risk management, Finance, Legal and regulators for regular reporting on assessment outcomes, identified risk issues and Corrective Action Plans, as well as to formulate strategic priorities for the COBRA Trading Book review program
• Responsible for managing the COBRA Trading Book review program that consists of global, regional, or single-country capital reviews related to all or some MSS businesses
• Manage and lead the Markets review teams located in New York, Tampa , and London
• Coordinate with Head of COBRA  as appropriate to address and escalate emerging risk trends related to regulatory capital treatment
• Ensure that assessments of US Basel Rules treatment, RWA production processes and calculations, governance infrastructure and others as related to Reviews are consistent and properly reported to senior management, Citi’s Boards of Directors, and regulators
• Ensure that Corrective Action Plans across the COBRA Markets review program are appropriate, monitored, duly validated, and address concerns resulting from COBRA Reviews
• Ensure that COBRA documents that include Regulatory Capital Assessment Documents and Review Reports meet quality and consistency standards
• Assist in recruitment, talent development, and building an effective review team
• Assist the Head of COBRA in developing and executing the COBRA Review Plan for the Markets entities

Knowledge/Experience:

• Significant experience with the US Basel Rules for Advanced, and Standardized Approaches for Market Risk, Counterparty Credit Risk, and Securitization  as they pertain to RWA requirements for Basel III and Basel III End Game.   
• Demonstrable financial services experience including 15+ years in counterparty credit risk resulting from markets transactions
• Deep and extensive capital markets experience in complex structures enabling an individual to deconstruct transactions and understand the underlying risks, in particular complex derivative transactions

• Fully conversant in credit and markets policy matters
• Experience in a similar role at another institution is desirable
• Advanced knowledge of regulatory frameworks as well as having held roles which involve interaction with supervisors / regulators is preferred

Skills/Competencies:

• Demonstrated history of high ethical standards and discretion in dealing with highly confidential Board and Senior Management material
• Ability to work at senior levels and build constructive and effective relationships with peers
• Proven ability to interact credibly with senior stakeholders in other functions such as finance, audit, legal and compliance, as well as senior leaders across the firm
• Advanced analytical skills, with the ability to identify root causes and trends and anticipate horizon issues
• Strong project and time management skills, with the ability to coordinate and manage large review teams
• Excellent written and verbal communication skills, with the ability to communicate clearly and concisely to audiences of varying levels of seniority
• Knowledge of Citi's organization and systems preferred
• Proficient in Microsoft Office (Word, Excel, and PowerPoint)

Qualifications:

• BA/BSc or higher degree in Business (MBA), Finance or any other related subject
• Senior Credit Officer designation (or equivalent) preferred

Valuing Diversity:

• Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organizational success.

Travel Required:

minimal

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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