Senior Vice President, Head of AI Research & Development (hybrid)

The Risk Analytics, Modeling and Validation role involves the development, enhancement, and validation of methods for measuring and analyzing all types of risks, including market, credit, and operational. In areas related to credit risk, individuals in this role develop, enhance, and validate models for measuring obligor credit risk, or early warning tools that monitor the credit risk of corporate or consumer customers, besides being involved in Loss Given Default studies. They also develop and maintain key risk parameters like default and rating migration data, usage given default data and transition matrices. This role is vital to the company as it provides a scientific and systematic approach to assessing and mitigating risks, thereby ensuring the company's financial stability, protecting its assets, and supporting its overall business strategy.

Responsibilities: 

• The role is typically for Model Validation Lead (VL).
• Oversee a portfolio (e.g., Commodities business models) of model types / product types for a specific business area Perform model validations, annual model reviews, ongoing monitoring reviews (on Low, Medium and High Model Risk Rating (MRR) models), model limitation remediation reviews, Supervisory and Peer Reviews across the specific portfolio.
• Ensure accuracy of validations performed by Validators covering the VL’s specific portfolio Provide effective challenge to the model development process on Low / Medium / High MRR models in accordance with the Citi Model Risk Management Policy.
• Covers both technical and functional aspects, including model assumptions, conceptual soundness, mathematical formulation, model calibration, and model performance, as well as the functional assessment of using the model for regulatory and business applications. Job responsibilities include reviewing models and identifying shortcomings development documents, performing validation tests, discussing findings with senior stakeholders, writing validation reports, and managing model risk on an ongoing basis

• communicating a compelling vision of the future; helps them identify opportunities for change and improvement during uncertainty.
• Inspires the team to constantly improve, own mistakes, and proactively share learnings with other teams; demonstrates deep curiosity to help the team learn and improve.
• Creates a team environment in which members are proactively invited to speak up, seek out, and debate alternative views; role-models agility to change course when presented with new information.
• Acts as a catalyst for change by identifying and championing ideas that benefit the organization; supports the team to safely experiment.
• Communicates the context behind key organizational decisions; puts the enterprise above the team, and helps the team make decisions that benefit the greater good
• Creates focus by communicating and aligning resources to the most critical organizational priorities; proactively reduces potential distractions for the team.
• Proactively identifies and acts on opportunities to manage risk through streamlining processes, eliminating redundancies across teams, and reducing over-customization.
• Leads teams to strengthen controls that support client satisfaction and operational effectiveness; creates a culture in which all team members take accountability for managing risk.
• Guides the team in solving complex business challenges by taking time to gather data, uncover root causes, and identify sustainable solutions.
• Leads teams to continuously raise expectations; inspires them to exceed performance goals and deliver the best possible work.
• Role-models, educates, and holds the team accountable for doing the right thing for clients and Citi, in all situations, even when difficult
• Holds self and team accountable for establishing partnerships that break down boundaries and engage cross-functional partners early and often; creates opportunities for enhanced collaboration across business and functions.
• Reinforces opportunities for team members to support clients and communities; educates teams on the challenges faced by Citi’s constituents.
• Creates a flexible and engaging work environment in which employees can achieve work-life balance and people of diverse backgrounds and styles can thrive; lives by example.
• Proactively seeks out and champions diverse talent for critical roles; is intentional in taking action to ensure all team members are treated in a fair and equitable manner.
• Actively monitors and listens respectfully to how teams are feeling, particularly when facing challenges; assumes best intent and responds with empathy.

• Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency, as well as effectively supervise the activity of teams and create accountability with those who fail to maintain these standards

Qualifications: 

• 10+ years of experience
• Demonstrated project management and organizational skills and capability to handle multiple projects simultaneously.
• Deep understanding of financial instruments, pricing models, simulation and other relevant risk estimation methodologies, and regulatory requirements.
• Sound knowledge in Calculus, Linear Algebra, Statistics, and Numerical Methods.
• Strong verbal and written communication skills.
• Solid writing skills.
• Programming skills in languages like Python, MATLAB, C/C++/C#, VBA or other coding language as need.
• Extensive experience in developing and validating risk measurement methods and models for one or more businesses and product areas.
• Familiarity with regulatory requirements related to relevant model types and risk management practices.
• Strong knowledge of risk management principles and practices. Familiar with regulatory requirements related to the relevant model portfolios.
• Proficiency in data analysis and interpretation.
• Programming skills in languages like Python, MATLAB, C/C++/C#, VBA or other coding language as need.
• Experience in conducting extensive quantitative and qualitative analysis.
• Ability to formulate recommendations on policies, procedures, or practices.
• Excellent analytical and problem-solving skills, with the ability to make complex judgments and select complex alternatives.
• Strong commercial awareness and business acumen.
• Excellent communication and negotiation skills, with the ability to communicate effectively both internally and externally.
• Ability to apply ingenuity and creativity to problem analysis and resolution in complicated and/or novel situations.
• Strong leadership and team management skills.

Education: 

Bachelor's/University degree, Master's degree preferred

Senior Vice President, Head of AI Research & Development

The Head of AI Research & Development position is a senior leader role in the Artificial Intelligence (AI) Review and Challenge Group within Citi’s Model Risk Management (MRM) organization. This position will be a Subject Matter Expert within MRM for AI applications, leading research and development of Generative AI use cases for MRM. This position will also lead the team to perform independent review and effective challenge of all lifecycle activities of Artificial Intelligence (AI) / Machine Learning (ML) non-model objects (including Generative AI use cases) used in Citi. Excellent communication skills required to communicate validation outcome and rationale to senior management, Internal Audit, and external regulators. Necessitates a degree of responsibility over technical strategy. Responsible for handling staff management issues, including resource management and allocation of work within the team/project.

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In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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