Head of Counterparty Credit Risk (CCR) and Securitization RWA
The Fin Solutions Ld Group Manager manages multiple teams of senior professionals through other senior managers. The job requires a broad and comprehensive understanding of the different systems, theories and practices relevant to a function as well as practical experience of multiple business cycles. In-depth knowledge of the industry and direct competitors' products/services is also necessary in order to contribute to the commercial objectives of the business. Requires thorough understanding of strategic direction of the function within the business, combined with a solid conceptual/practical grounding in both the function and/ or area of expertise. Excellent communication skills required in order to influence a wide range of audiences. The job is likely to be involved in both internal and external negotiations which will have a major impact on the area managed, and possibly on other related areas and organization as a whole. Develops medium- to long-term plans and executes functional strategies for a large/complex country, cluster of countries, or business requiring coordination and integration across units. Provides input into strategic decisions affecting job family or function within a region or business. Full management responsibility of multiple teams, including management of people, budget and planning. Has authority to negotiate and make independent decisions on issues/activities that have critical impact or influence on company revenues, capital or business operations. Typically, a direct report to an C16 role and sits on the highest functional leadership team within a region,, or global business.
The senior level role will be part of the RWA Integrity team and accountable for overall determination of Risk Weighted Assets for CCR and Securitization exposures. This includes (i) overseeing the computational methodologies used to determine RWAs, including any assumptions, interpretations and/or models used to make those determinations, (ii) ensuring the accurate implementation of those methodologies within Citi’s infrastructure, (iii) ensuring models have been validated and systems changes have been accurately executed, (iv) articulating Business and Functional requirements including performing end to end diagnostic assessment for remediation regulatory capital issues.
The position will report to Head of RWA Integrity who is responsible for ensuring RWA & Supplementary Leverage Exposure (SLE) is appropriately identified, calculated and reported with robust governance, transparency and controls, and adequately taking into account the Bank’s size, complexity, and overall risk profile.
The ideal candidate should demonstrate proven ability to work together with multiple stakeholders across Markets, Independent Risk, Compliance, Finance, HR, and O&T. The candidate must be able to work effectively in a cross-functional environment without close supervision and with colleagues who may not be in the same geographic location.
The role requires strong analytical, interpersonal and leadership skills that rely on influence and building effective partnerships to execute our business plans and controls in a systematic, measurable, and effective way.
The Head of CCR and Securitization RWA will be responsible for
- Managing end to end production, governance and controls of Counterparty Credit Risk (Derivatives, Repo Style Transactions and Eligible Margin Loans), Trading Book & Non-Trading Book Securitization Products Standardized and Advanced RWA, and SLE Actuals
- Manage a team of product and Basel rules experts and provide oversight to Shared Services team supporting RWA operations, and production of RWA and SLE
- Define, Develop and maintain a governance framework, procedures, and controls to ensure end-to-end RWA calculation and reporting process is well-defined and controlled.
- Define, develop, and continuously enhance attribution and other analytics that can effectively demonstrate exposure, EAD and RWA calculations. This analysis will include variance analysis period over period are explained (with attribution to exposure and risk factor changes) in a reliable and transparent manner
- Responsible for providing RWA strategic analytics and management summaries for CCR and Securitization exposures to senior management.
- Responsible for communicating to executive management implications of existing and proposed regulation and developing potential responses. This may include regulations related to specific product or macro / systemic regulation, including standards to comply with Basel III / Basel III Reforms, MiFID, U.S. Fed, Treasury, FDIC and regulations from other central banks and regulatory authorities.
- Provide thought leadership and requirements for analytics using Artificial Intelligence and Machine Learning tools that enhances further transparency to the overall RWA calculations and reporting process
- Define, develop and establish robust control processes that can effectively demonstrate US Basel III regulatory capital requirements are applied in an accurate and appropriate manner.
- Ensure model changes for CCR and Securitization products are well understood, implemented and tested for RWA processing, regulatory notifications and submissions. This will include developing insights estimating impacts because of model changes and periodic updates to underlying referential data (e.g. correlation matrices, servicer reports)
- Responsible for performing second line of defense RWA reviews and feedback received if any, are addressed in a timely manner
- Manage and address RWA reviews by other control functions such as Internal Audit, Independent Compliance Risk Management, Capital Planning Review Group etc. and feedback if any, are remediated in an appropriate and timely manner
- Identify potential process improvements and capabilities to increase consistency, transparency, and reliability of RWA calculation, governance and controls process.
- Drive the diagnostics and remediation activities of a broad range of regulatory capital calculations that encompass governance, data and non-data controls, processes, system implementation and regulatory reporting.
- Develop senior management-ready materials, particularly RWA analytics presentations to Lines of Businesses, Senior Governance Groups, Independent Risk Management, Finance and Regulators
- Drive change and influence risk and regulatory outcomes. Provide appropriately conservative solutions from a Regulatory Compliance perspective, in partnership with Business, Risk, and Finance teams
- Develop a strong working relationship with Finance, Front Office, Treasury, Technology, Audit, Independent risk and other counterparts across the organization
- Develop a strong working relationship with Quantitative Risk and Stress Testing (QRS), Multi Asset Quantitative Analytics (MAQA) and Line Risk Management to ensure Advanced RWA models and other risk factors are consistent between internal Risk Management process and RWA calculations.
- Comprehensive understanding of Advanced and Standardized US regulatory capital rules for CCR and Securitization exposures (Basel III and Basel III reforms) with demonstrated ability to assess the application of those rules vs. regulatory expectations
- Strong capital markets product knowledge and analytical experience is required. In-depth knowledge of Basel International framework and US Final Basel requirements
- Strong technical expertise and solid understanding of capital markets products, credit documentation (e.g. credit agreements, servicer reports) and complex structures and associated risks (synthetic loans, derivatives)
- Full understanding of the lifecycle of CCR and Securitization products and involved in attribution of valuation movements using sensitivity-based analysis
- Strong understanding of regulatory capital best practices and controls, and interdependencies between Trading Book and Banking Book exposures across different risk stripes
- Prior experience implementing Basel RWA rules in large financial institutions preferred
- Ability to define, articulate and re-engineer complex processes and procedures, with appropriate controls, and think both strategically and tactically while driving meticulous execution
- Exceptional oral communication and writing skills, with ability to synthesize complex concepts, and translate into "user-friendly" language for multiple audiences, including senior management, multiple internal constituents and regulators
- Experience in managing risks holistically, covering areas such as systems, data, models, regulatory requirements, governance, and analytics
- Strong analytical skills, attention to detail, willingness to "roll up sleeves" and produce a polished, high quality, accurate product; tireless work ethic with ability to work well under pressure
- Solid Microsoft Excel skills and the ability to develop advanced knowledge of MS Excel and Access (or other database front-end query applications).
- Minimum 15 years’ experience in related field
Education Level: Bachelor’s Degree in Science, Technology, Engineering and Mathematics (STEM). Master’s Degree preferred. Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.
Primary Location: NAM-US-NY-New York
Secondary Location: NAM-US-Florida-Tampa
Job Category: Spot RWA Integrity Team, Finance
Salary Grade: C16
Job Family Group:Finance
Job Family:Fin Solutions Dsgn & Implement
Time Type:Full time
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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.
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