The senior level role will be part of the RWA Integrity team and accountable for overall determination of Risk Weighted Assets and Supplementary Leverage Exposure for Counterparty Credit Risk (CCR) exposures. This includes (i) performing the computational methodologies used to determine RWAs, including any assumptions, interpretations and/or models used to make those determinations, (ii) ensuring the accurate implementation of those methodologies within Citi’s infrastructure, (iii) ensuring models are fit for Basel purpose, have been validated and accurately implemented, (iv) articulating Business and Functional requirements including performing end to end diagnostic assessment for remediation regulatory capital issues.
The position is part of Spot Risk Weighted Assets (RWA) Integrity team within Citi Treasury organization. Treasury Capital Planning (CP) team ensures that Citi has a robust, sustainable, and Spot and Forward-looking capital process. The Spot RWA Integrity team is responsible for ensuring RWA is appropriately identified, calculated and reported adequately taking into account the Bank’s size, complexity, and overall risk profile. Further, the RWA Integrity team provides sole focus on the controls and governance of the Spot RWA production process.
The role is of a senior lead in the RWA Derivatives team, which reports into the RWA Integrity Derivatives Exposure Type Lead. The Spot RWA Derivatives team is responsible to ensure accuracy and integrity of RWA calculations and reporting of Standardized and Advanced RWA, and Supplementary Leverage Exposure (SLE). The lead role is of a regulatory capital expert in Derivatives, providing critical challenge and driving the diagnostics and remediation of a broad range of Derivatives regulatory capital calculations that encompass governance, data and non-data controls, processes, system implementation and regulatory reporting. This role provides extensive exposure to colleagues across risk, finance, technology, and line of business functions. Excellent interpersonal skills are required given the high level of interaction with senior managers, as well as the ability to work under pressure to meet tight deadlines. Technical skill is important to the candidate’s success, and so are strong project management and multi-tasking skills to plan and manage deliverables towards a number of objectives.
The Senior Lead will be responsible for:
Managing end to end production, governance and controls of Derivatives Standardized and Advanced RWA, and SLE Actuals
Provide oversight to Shared Services Derivatives team supporting RWA operations and production
Define, develop and establish attribution and other analytics that can effectively demonstrate exposure, Jump-to-Default (JTD) and CVA RWA calculations for Derivatives are accurate and commensurate with Citi’s size and complexity. This analysis will include variance analysis period over period are explained (with attribution to exposure and risk factor changes) in a reliable and transparent manner
Provide thought leadership and requirements for Derivative analytics using Artificial Intelligence and Machine Learning tools that enhances further transparency to the overall RWA calculations and reporting process
Ensure RWA calculations and Reporting process, Governance and Controls Framework is well-defined, transparent and documented in a comprehensive manner
Define, develop and establish robust control processes that can effectively demonstrate US Basel III regulatory capital requirements for Derivatives RWA are applied in an accurate and appropriate manner
Ensure model changes for JTD and CVA are well understood, implemented and tested for regulatory notification and submission. This will include developing insights estimating impacts because of model changes and periodic updates to underlying referential data (e.g. correlation matrices)
Define, develop and establish CVA RWA governance in compliance with the US Basel regulatory rules
Ensure second line of defense Derivatives RWA reviews are performed consistently and feedback if any, and comments are addressed in a timely manner
Manage and address Derivatives RWA reviews by other control functions such as Internal Audit, Independent Compliance Risk Management, Capital Planning Review Group etc. and feedback if any, are remediated in an appropriate and timely manner
Identify potential process improvements and capabilities to increase consistency, transparency, and reliability of RWA calculation, governance and controls process.
Drive the diagnostics and remediation activities of a broad range of regulatory capital calculations that encompass governance, data and non-data controls, processes, system implementation and regulatory reporting.
Develop senior management-ready materials, particularly Derivative analytics presentations to Lines of Businesses, Senior Governance Group, Independent Risk Management, Finance and Regulators
Drive change and influence risk and regulatory outcomes. Provide appropriately conservative solutions from a Regulatory Compliance perspective, in partnership with Business, Risk, and Finance teams
Develop a strong working relationship with Finance, Front Office, Treasury, Technology, Audit, Independent risk and other counterparts across the organization
Qualifications:
Bachelor’s Degree in Science, Technology, Engineering and Mathematics (STEM). Master’s Degree preferred.
7+ years’ experience in related field with relevant experience
Comprehensive understanding of US regulatory capital rules for counterparty credit risk both Basel III and SA-CCR rules with demonstrated ability to assess the application of those rules vs. regulatory expectations
Full understanding of the lifecycle of Derivatives (bilateral and cleared transactions) notably IR and FX derivatives and involved in attribution of valuation movements using sensitivity based analysis
Familiarity with a) Interest Rate; b) Equity; c) Credit d) FX and e) Commodity derivatives. Understanding of various structured products: CDO's, credit index products, correlation products, etc.
Strong understanding of regulatory capital best practices and controls, and interdependencies between Trading Book and Banking Book exposures across different risk stripes
Prior experience implementing Basel RWA rules in large financial institutions preferred
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
Experience in managing risks holistically, covering areas such as systems, data, models, regulatory requirements, governance, and analytics.
Ability to manage multiple priorities and tasks, work well as part of a team, and strong people and influencing skills
Strong analytical skills, 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
Solid Microsoft Excel skills and the ability to develop advanced knowledge of MS Excel and Access (or other database front-end query applications)
Education:
Bachelors degree, potentially Masters degree
The Fin Solutions Group Manager is accountable for management of complex/critical/large professional disciplinary areas. Leads and directs a team of professionals. Requires a comprehensive understanding of multiple areas within a function and how they interact in order to achieve the objectives of the function. Applies in-depth understanding of the business impact of technical contributions. Strong commercial awareness is a necessity. Generally accountable for delivery of a full range of services to one or more businesses/ geographic regions. Excellent communication skills required in order to negotiate internally, often at a senior level. Some external communication may be necessary. Accountable for the end results of an area. Exercises control over resources, policy formulation and planning. Primarily affects a sub-function. Involved in short- to medium-term planning of actions and resources for own area. Full management responsibility of a team or multiple teams, including management of people, budget and planning, to include performance evaluation, compensation, hiring, disciplinary actions and terminations and budget approval.
Responsibilities:
Contributes to the design, roll-out and governance of financial solutions, including:
Participates in formulating and setting strategic direction for the process, organization and architecture covering Finance across Citi businesses, products, functions and locations
Assists in setting business and information architecture standards for Finance
Plays a part in settling and operating necessary forums and frameworks to establish and govern policies and starts for global Finance processes
Participates in assessing and incorporating changing business, regulatory and market information needs into finance processes and applications
Manages complex/critical/large professional disciplinary areas.
Leads and directs a team of professionals.
Applies in-depth knowledge of the business impact of process design and technical contributions.
Accountable for delivery of a full range of services to one or more businesses/ geographic regions.
Regularly interacts with peers within the firm and externally, including regulators and professional organizations.
Provides advice to internal clients on the implications of business trends, issues, operating environment changes and firm or business unit strategy.
Performs other duties and functions as assigned.
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 others and create accountability with those who fail to maintain these standards.
Qualifications:
10+ years of relevant experience, within the financial services industry highly preferred
Requires a comprehensive knowledge of multiple areas within a function and how they interact in order to achieve the goals of the function.
Requires communication and diplomacy skills in order to guide and influence others.
Experience and demonstrated ability to manage competing priorities in a complex and dynamic environment
Self-motivated with the ability to make decisions in the absence of detailed instructions.
Proficient Microsoft Office skills
In depth knowledge of banking products / systems highly preferred.
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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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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Seniority level
Not Applicable
Employment type
Full-time
Job function
Finance and Sales
Industries
Banking, Financial Services, and Investment Banking
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