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SVP, Treasury Capital Planning RWA Integrity Retail Exposures Lead

Job Req ID 21309010 Primary Location New York, New York Job Category Finance
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Join Capital Planning Spot Risk Weighted Assets (RWA) Integrity team within Citi Treasury organization. Treasury Capital Planning (CP) team ensures that Citi has a robust, sustainable, and Spot and Forward-looking capital process. The Spot RWA Integrity team is responsible for ensuring RWA is appropriately identified, calculated and reported adequately taking into account the Bank’s size, complexity, and overall risk profile.  Further, the RWA Integrity team provides sole focus on the controls and governance of the Spot RWA production process.

The senior level role will be part of the RWA Integrity team and accountable for overall determination of Risk Weighted Assets and Supplementary Leverage Exposure for Retail 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 Retail RWA Lead 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 Global Consumer Bank,  Commercial Bank, Small Business, 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 Retail Senior Lead will be responsible for

  • Managing end to end production, governance and controls of Retail Standardized and Advanced RWA, and SLE Actuals

  • Manage a team of analysts including providing oversight to Shared Services team supporting RWA operations, and production of RWA and SLE

  • Ensure Retail RWA process follows the defined 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 Retail exposures to senior management.

  • 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 Retail Advanced RWA 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. PD, LGD)

  • Responsible for preparation of materials for 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, Business, Treasury, Technology, Audit, Independent risk and other counterparts across the organization

  • Develop a strong working relationship with Quantitative Risk and Stress Testing (QRS), and GCB in-business and Line Risk Management to ensure Advanced RWA models and other risk factors are consistent between internal Risk Management process and RWA calculations. 

Qualifications:

  • Bachelor’s Degree in Science, Technology, Engineering and Mathematics (STEM) or related.  Master’s Degree preferred.

  • Minimum 7+ years’ experience in related field

  • Comprehensive understanding of Advanced and Standardized US regulatory capital rules for Retail exposures with demonstrated ability to assess the application of those rules vs. regulatory expectations

  • Full understanding of the lifecycle of Retail exposures, and strong understanding of regulatory capital best practices and controls

  • 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).

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Job Family Group:

Finance

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Job Family:

Fin Solutions Dsgn & Implement

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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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