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Senior Quantitative Risk Analyst, Vice President

Job Req ID 21359495 Primary Location Singapore, Singapore Job Category Risk Management
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The successful candidate will join the Global Legal Entity Quantitative Risk Analytics and Stress Testing Support ‘LE QR Support’ team within the Global Finance CRO Organisation in Independent Risk Management. The mandate of this team is to provide client engagement, model development and production oversight and model governance services in relation to the wholesale credit risk economic capital and credit risk losses and macroeconomic scenarios designed for use in the ICAAP and/or regulatory stress testing exercises of various Citi Legal Entities in EMEA, APAC and LATAM. This team act as an interface between Legal Entity Risk Management and Quantitative Risk and Stress Testing ‘QRS’ teams, coordinating across the central QRS teams (Model Sponsor, Model Developer, and Risk Reporting) and providing analytical support over the model use and results to the legal entity risk management.

The key services provided by the team encompasses:

  • Liaising with Legal Entity Risk Management teams, Model Sponsors, and Model Developers for new and/or changes to existing quantitative models to be used in their local capital planning and/or stress testing exercises.
  • Liaising with Model Sponsors, Model Developers and Model Risk Management to ensure all models identified and used in the stress-testing and economic capital assessments are duly validated and approved for use in the respective legal entity ICAAP and/or regulatory stress testing, in compliance with compliance with Citi’s enterprise stress testing framework, model risk management policies, and capital planning policies and standards.
  • Participating in the design and construction of the macro-economic scenario to be used in the stress test exercises including but not limited to performing sensitivity analysis to identify the macro-economic risk factors to which the Legal Entities are most vulnerable, review and challenge of the overall scenario themes, narratives, and core forecast assumptions to the key macro-economic variables.
  • Planning and Liaising with the model production and reporting teams to deliver the stress-testing results withing the agreed timelines and acceptable quality.
  • Working with the Model Sponsors, Model Developers and Legal Entity Risk Management for assessment and quantification of model overlays, if any, required to compensate for known model limitations and/or model production issues. Organising review and challenge of the model overlays with the Model Risk Management in accordance with internal Citi Policies and Procedures.

Responsibilities:

The role requires developing strategic solutions to design and deliver process enhancements in the end-to-end stress testing exercises, on one hand, and supporting ongoing live exercises.

Below are the detailed roles and responsibilities of the team:

  • Compiling the regulatory and non-regulatory (e.g. business, internal audit) requirements for stress testing and economic capital assessments from various Legal Entities Risk and Finance.
  • Assessing the requirements, gaps and constraints to existing models and prioritising these with all stakeholders.
  • Own and maintain the Model Inventory for models used in wholesale credit stress testing and economic capital assessments and socialise the same with the key stakeholders.
  • Propose action plans for any model change or model retirement. Agree model change action plan with Model Sponsors, Model Developers and Regional Risk teams. Document the final model change action plan and related timelines.
  • Act as the liaison between QRS and Model Risk Management for timely approval of the model developments, changes, compensating controls, and redressals of model limitations.
  • Notify Risk Reporting of any model change and act as a point of contact with Model Sponsor / Developer.
  • Review and challenge of the model documents prepared by the Model Developer including model validation report outcomes and coordinating remediation plan.
  • Manage and maintain the scenario adequacy assessment tools and reports to help with the identification of key vulnerabilities and inputs to the scenario design and construction.
  • Act as a point of escalation for any queries related to scenario expansion, variable paths and the scenario adequacy assessment.
  • Maintain a list of approved ICAAP scenarios alongside Risk Reporting and Scenario Developers (EFT).
  • Act as a point person for addressing any questions related to the model results including any analytical support for appropriate interpretation of the results.
  • Facilitate assessment of appropriate overlays to be applied on model results, in line with Model Risk Management policies, and front running the discussions with the model sponsors and Model Risk Management.
  • Collating and maintaining  a schedule of all the key internal and regulatory exercises that require the QRS services and socialising the schedule with all key stakeholders and lead discussions on resourcing and prioritising the efforts required from Scenario developers,  Model Developers, Reporting Teams and Model Risk Management.
  • Facilitate technical training and liaise with QRS stakeholders to develop training materials.

Development Value:

The successful candidate will have the opportunity to work on a wide range of strategic and analytical topics within capital planning and stress testing frameworks. The candidate will also have the opportunity to interact with a wide team of quantitative risk analysts, risk management professionals and senior management across multiple geographies and businesses, and in doing so, gain an expansive view of the firm.

Qualifications

  • Bachelor’s degree (preferably Masters) in Mathematics, Economics, or another field with analytical focus (Finance, Engineering, Computer Science, etc.) is required
  • Minimum 8-10 years of experience in financial services sector, in roles requiring superior problem-solving analytical capabilities. Experience in areas such as Model Risk management and/or Macroeconomic analysis is highly desirable
  • Familiarity with regulatory guidance around ICAAP, stress testing principle and methodologies, and macroeconomic forecast  design and development are strongly preferred.
  • Experience in developing strategic plans for complex processes, drafting senior management communications;

Desirable Skills and Experience:

  • Strong analytical skills and working knowledge in the principles of credit and market risk with ability to understand technical concepts;
  • Good understanding of Corporate and Institutional banking products like commercial loans, and investment securities products;
  • Working knowledge in topics related to Model Development Lifecycle and Model Risk Management;
  • Proficiency in handling very large data sets to identify key trends relevant to big picture;
  • Demonstrated project management and organizational skills and capability to handle multiple projects at one time and ability to build relationships confidently at all levels;
  • Exceptional writing and PPT skills, with the ability to synthesize complex concepts and translate into effective presentations to senior audiences;
  • Consistently demonstrates clear and concise written and verbal communication skills
  • Highly motivated, with ability to work both independently and collaboratively.

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required. Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

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.

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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:

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Citi is an equal opportunity and affirmative action employer.

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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