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Trading Book Risk Stress Testing - Analytics and Governance Manager

London, United Kingdom
Closing date
Nov 26, 2022

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Job Function
Industry Sector
Finance - General
Employment Type
Full Time
The successful candidate will join the Legal Entity ICAAP and Stress Testing team. Team mandate is to provide model analytical expertise and solutions to Citi Legal Entities (Non US), in the space of Risk Capital and Stress Loss assessments to aid Capital Planning, especially Internal Capital Assessment Adequacy Process (ICAAP), Trading/Solvent Wind Down Planning, and/or General Stress Testing (ST).
This senior role 's focal point will be the risk model solutions, the technical oversight and execution of quantitative analyses underpinning the Trading Book Winddown exercise for Citi's main legal vehicles covering regulatory and internal business exercises.. The position requires a close interaction and coordination with stakeholders across the Risk and Finance functions as well as an effective partnership with model development teams within Risk.
The role will provide broad exposure to Citi's businesses across the region and develop expertise spanning multiple risk stripes as the candidate will also be expected to understand the key local requirements and critically assess the level of analytical support needed to adequately capture these risks.
  • Gather, understand and review Legal Entity requirements (regulatory and business) around risk models used for solvent winddown (SWD) in the space of portfolio stress testing and applicable hedging strategies
  • Convert Legal Entity requirements into executable, risk models related, action plan - with allocated time and resources
  • Support decisions and processes around SWD models development, enhancements and maintenance
  • Support Legal Entities: business, finance, risk managers, model validation, internal audit, and banking supervisors for stress testing related discussions and actions
  • Work with Risk Teams to enhance scenario analysis and stress testing capabilities
  • Actively participate in the analysis and interpretation of results, incorporating feedback as appropriate into models and metrics.
  • Actively engage across all model development teams within risk organization.
  • Prepare and deliver training, materials, presentations and reports on risk analytics for technical and non-technical audiences.
  • Master's in Economics, Econometrics, Statistics, Math, Finance, or Science
  • Extensive job experience, of which relevant years of experience in quantitative financial modeling. Hands-on experience with the research, development, and implementation of risk models, especially market risk
  • Extensive knowledge of diverse set of products that exist in financial institution, with key focus on trading book products. Deep understanding of financial institution risk and business.
  • Solid understanding of derivatives pricing
  • Good knowledge of bank stress testing
  • Familiar with statistics packages and regression models.
  • Understanding of programming in Python, R, or other objected oriented languages.
  • Coding experience in SQL would be advantageous.
  • Excellent communication skills, verbal as well as written
  • Ability to make decisions / balance aggressive timelines for deliverables amidst conflicting priorities
Job Family Group:
Risk Management -------------------------------------------------
Job Family:
Risk Analytics, Modeling, and Validation ------------------------------------------------------
Time Type:
Full time ------------------------------------------------------
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.

Citigroup Inc. and its subsidiaries ("Citi") invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi .

View the " EEO is the Law " poster. View the EEO is the Law Supplement .
View the EEO Policy Statement .
View the Pay Transparency Posting

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