This role is in the Market Risk Policy & Model Governance team within Global Market Risk or GMR, Citi's firmwide market risk management. The team focuses on the improvement / enhancement and implementation of frameworks for price risk management policy and for market risk model governance, in line with 'Use Test' requirements. The role is for a dynamic self-starter that is keen to become an integral part and to fully engage in the design, creation, maintenance and implementation of price risk policy and risk model governance framework. Project and change management skills are essential to underpin the organisation and co-ordination in relevant change programmes across businesses and regions, in which Citi operates.
Responsibilities include supporting work:
With relevant Citi stakeholders, as well, as outside experts
for the design of a target state market risk model governance, compliant with relevant requirements and, in particular, 'Use Test' requirements. This would have as its focus, model performance and coverage review, as well as changes to models or new models.
for the enhancement of price risk policy framework, in line with regulatory expectations and requirements.
With Control and Internal Audit stakeholders to support ensuring credible challenge throughout the remediation process and validation of results in line with Citi's Internal Audit requirements.
To collate and coordinate updates and notifications to management and senior Citi risk forums.
Qualifications & skills:
Detailed Price Risk expertise gained as a Market Risk Manager or product valuation specialist or in regulatory market risk capital reporting, with First Line and/or Second Line experience or in an associated consulting role, risk model governance and quantitative risk exposure.
In depth knowledge and understanding of relevant regulatory rulebooks, as they pertain to market risk, e.g. current IMA rulebook and upcoming FRTB.
Excellent oral and written communications skills; must be clear and articulate communicator.
Ability to underpin change to business practices by working effectively across a global organisation.
Self-starting and able to multitask and to prioritise
Change and project management capabilities are essential.
An academic background in a technical discipline will greatly facilitate the role's effectiveness in interactions with First Line and Second Line technical experts & specialists.
------------------------------------------------- Job Family Group: Risk Management ------------------------------------------------- Job Family: Market Risk ------------------------------------------------------ Time Type: Full time ------------------------------------------------------ Citi is an equal opportunity and affirmative action employer.
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