QRS (Quantitative Risk And Stress) Governance Team VP

Citigroup Inc. Tampa , FL 33602

Posted 2 weeks ago

  • Primary Location: United States,Florida,Tampa

  • Education: Bachelor's Degree

  • Job Function: Risk Management

  • Schedule: Full-time

  • Shift: Day Job

  • Employee Status: Regular

  • Travel Time: No

  • Job ID: 18073284

Description

About Citi

Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.

Citi's Mission and Value Propositionexplain what we do and Citi Leadership Standards explain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients' and the public's trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.

Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.

The Quantitative Risk and Stress Testing (QRS) group's primary objective is to develop quantitative models used for capital, stress testing and internal risk management.

The QRS Governance team manages or coordinates all non-development activity within QRS. A key responsibility is oversight of these activities and to ensure that QRS complies with Citi firm-wide policies. As such, the candidate is expected to develop a strong understanding of the types of models used across various areas within Citi, modeling's role in risk processes and the necessary controls on those models. The basic responsibilities of the role are:

Model Risk Management Compliance

  • Management of the model inventory and submission scheduling (to include revalidation scheduling)

  • Provide and coordinate all supporting information for Quarterly Sponsor Attestations

  • Inventory and monitor all limitations and compensating control (in progress)

  • Main interface to the iMRM system including all model documentation submissions

  • Provide analytics/testing to the MRM Annual Model Review/Ongoing Performance Analysis

  • Primary liaison to MRM on all policy matters

Management/Coordination of QRS Control Functions

  • Management of outstanding issues (MRA, Internal Audit action plans, Model Risk Management items)

  • Coordinate the Management Control Assessments (MCAs)

  • Management the End User Computing (EUC) process, acting to coordinate multiple users

Regulatory Liaison Function

  • Management of quarterly reporting/submissions to US Agencies

  • Applications for Regulatory Model Approvals

  • Notifications to Regulators of Quarterly Model Changes

  • Coordination of regulatory exams/reviews

Qualifications

  • Undergraduate degree in Finance, Economics or a technical discipline.

  • Ability to multi-task and coordinate multiple assignments and projects.

  • Ability to navigate the Citi network and work effectively with our partners around the organization.

Knowledge/Experience

  • A Basic understanding of Risk Management within the Financial industry including Market Risk and Credit Risk concepts, and a strong desire to learn.

  • 6+ years of experience in a Risk, Risk IT or Finance area.

  • Knowledge of Citi's internal risk processes and firm-wide control initiatives (EUC, MCA) is a plus.

Skills/Competencies

  • Candidates are expected to have strong communication skills, both oral and written.

  • The ability to work collaboratively and influence others both within and outside of QRS.

  • Must be self-motivated and capable of independently driving results.

  • Strong computer literacy and Excel, PowerPoint are a must-have.

icon no score

See how you match
to the job

Find your dream job anywhere
with the LiveCareer app.
Mobile App Icon
Download the
LiveCareer app and find
your dream job anywhere
App Store Icon Google Play Icon
lc_ad

Boost your job search productivity with our
free Chrome Extension!

lc_apply_tool GET EXTENSION

Similar Jobs

Want to see jobs matched to your resume? Upload One Now! Remove
Counterparty Risk Analytics Quantitative AnalystAvp

Citigroup Inc.

Posted 7 days ago

VIEW JOBS 3/20/2019 12:00:00 AM 2019-06-18T00:00 * Primary Location: United States,Florida,Tampa * Education: Master's Degree * Job Function: Risk Management * Schedule: Full-time * Shift: Day Job * Employee Status: Regular * Travel Time: No * Job ID: 19011905 Description About Citi Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients. Citi's Mission and Value Proposition explains what we do and Citi Leadership Standards explain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients' and the public's trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities. Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all. Description: Team: * The Counterparty Risk Analytics team is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures of OTC derivatives (cleared and non-cleared), Exchanged-Traded derivatives, Security Financing Transactions, and Margined Loans. The models are used for advanced Basel regulatory capital calculations, CCAR/ICCAP estimates, and internal risk management measures (PSE/PSLE). * Besides model use supports, the team also provides live-deal analysis to business and risk management by calculating credit exposure factors (CEF) at trade and portfolio levels, estimating allowable collateral levels, and determining initial margin requirements. They also conduct impact analysis for capital optimization initiatives and new regulatory rules related to counterparty risk. They support to ensure that models and data logics are implemented correctly in credit risk systems. Key responsibilities include: * Enhance Linux/C++ based counterparty credit exposure simulation, pricing models, and margin and aggregation models for OTC derivatives, covering all major asset types (EQ, IR/FX, Credit, Commodity) * Perform rigorous model testing for all production models, including back testing, stress testing, and other testing involved in the model development process * Analyze and provide comprehensive explanation of testing results to model reviewers including model validation, risk managers, and senior management * Perform statistical analysis on large volume of financial data, such as historical data analysis and simulation model parameter calibration * Support trading book credit risk management; Calculate portfolio level counterparty exposure such as EPE, EAD, CVA, used for both internal risk management, regulatory capital calculation, and stress testing  Development values: Prospective candidates will be offered opportunities to get deep insight into the quantitative modeling area and broad understanding of the financial market, products, and regulations. Qualifications Qualifications: * Graduate degree in Physics, Statistics, Engineering or Economics * 3 + years of experience. Will consider fewer years with advanced degrees * Strong quantitative background. * Solid programming skills. Ideally from an object oriented language such as C++ and scripting language such as Python or Perl * Basic knowledge of financial products and derivatives modeling * Great communications skills in both verbal and written Citigroup Inc. Tampa FL

QRS (Quantitative Risk And Stress) Governance Team VP

Citigroup Inc.