Risk Weighted Asset Counterparty Credit Risk Senior Group Manager for Capital Planning team (Basel/C

Tampa, USA
Oct 08, 2020
Nov 06, 2020
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
Citi's Capital Planning Group team to support its regulatory stress testing initiatives (CCAR and DFAST efforts) in response to regulatory guidelines. CCAR Risk Weighted Assets (RWA) forecasting is a critical function within the Finance organization which oversees RWA forecasting for all business lines. This task involves understanding business and finance forecasting, and then applying algorithms to estimate the forecasted RWA numbers. The forecasted number is a great forward looking indicator on the amount of future regulatory capital necessary during a stressed or severely stressed economic environment, then used as an input to Citi's capital planning exercise and CCAR Fed reporting. This role will offer significant exposure to senior management on aspects of the firm's capital adequacy and stress-testing activities as they relate to RWA projection reviews with the Business, Independent Risk and Finance specifically relating to Counterparty Credit Risk. The role will partner extensively with colleagues across risk, finance, model development, model validation and line of business functions on the capital stress testing processes.
Position is for head of Counterparty Credit Risk in Capital Planning Forecasting and Analytics team. The role is based out of Tampa and involves managing team responsible for RWA Forecasting (Yearly CCAR, Mid-Year Forecasting and internal Plan) and Capital Outlook planning on real time basis, working closely with front office, risk, financial planning and seniors within Citi. It also requires participating in regulatory responses for Derivatives exposure and providing subject matter expertise on actual RWA calculation or new/upcoming rules based RWA (referred as Basel IV or enhanced Basel III rules).
While the Capital Planning team is responsible for managing all the aspects of Bank's Capital, whereas Forecasting and Analytics team focuses on managing Citi's capital ratios involving components such as RWA (Risk Weighted Asset), SLE (Supplementary Leverage Exposure) processes, GSIB score, etc. It is accountable for developing a sustainable operating model for RWA and SLE in order to comply with the continuously changing regulatory requirements across Forecasted and Actual RWA and SLE. For most of the regulatory capital disclosures, this team remains the face to the US and some of the regional regulators, and is required to attest the RWA and SLE numbers for various regulatory fillings
  • Review Risk Weighted Asset (RWA) calculations and projections for credit exposures using Basel III Advanced and Standardized regulatory guidelines during Annual and Mid-Year Comprehensive Capital Analysis and Review (CCAR) production cycle
  • Manage Counterparty Credit Risk (CCR) analytics team responsible for Derivatives and SFT RWA Forecasting, quantitative study for new rule, and Derivatives Financial Transaction (DFT) monitoring
  • Deliver the forecasted RWA while working with Modelling and Technology teams and ensure that the RWA is calculated as per agreed methodology and processes
    • Responsible for managing short-term Capital Outlook of Markets business, working closely with businesses, finance and other partners
    • Participate in new rules advisory to regulators and industry associations and manage work such as quantitative impact study for regulators or trend/impact study for senior management. Provide inputs on rule interpretation and project implementation as subject matter expert
    • Manage DFT exposures ensuring that RWA calculation is as per approved LRM framework and any regulatory or audit concerns are addressed
  • Participate in resolution of Audit CAP, MRA and other regulatory responses as a Derivatives subject matter expert
  • Lead strategic initiatives related to improvement of calculation and RWA processes. Develop relationship with key stakeholders and help the team improve SME skill sets by providing or managing training program
  • Monitor RWA calculations and partner with Technology, Finance and Risk to support organization's overall goal to manage Capital efficiently. Provide guidance to teams on remediation of Derivatives RWA to ensure the accuracy and integrity of the RWA. Represent the team in working group/steering committees when needed
  • 12+ years of relevant experience (preferably Basel/RWA/Counterparty Credit Risk), within the financial services industry
  • Strong experience in managing team of subject matter experts
  • Very good understanding of vanilla as well as complex Derivative and Secured Financial Transactions products
  • Good knowledge of Capital markets and financial products across various asset classes
  • Excellent communication and other soft skills to guide others on complex and strategic issues
  • Demonstrated ability to manage competing priorities in a complex and dynamic environment
  • Self-motivated with ability to keep the team motivated to perform optimally
  • 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
  • Ability to manage multiple priorities and tasks, work well as part of a team, and exhibit strong people and influencing skills
  • Strong 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
  • Bachelor's degree from a well-recognized university/institution, preferably MBA or equivalent finance degree
  • Certifications such as CFA and FRM would be preferred

Job Family Group:
Job Family:
Fin Solutions Dsgn & Implement
Time Type:
Full time
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