Citi Director of CCAR RWA Forecasting and Analytics in New York, New York
Primary Location: United States,New York,New York
Education: Bachelor's Degree
Job Function: Risk Management
Shift: Day Job
Employee Status: Regular
Travel Time: Yes, 10 % of the Time
Job ID: 17057158
Citi is a leading global financial services company having 200 million customer accounts. Citi does business in more than 100 countries, providing 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, and wealth management.
Join the Citi’s RWA GPO team within Treasury to support the RWA (Risk Weighted Assets) and SLE (Supplementary Leverage Exposure) actuals, regulatory stress testing (Comprehensive Capital Analysis and Review aka CCAR and Dodd-Frank Act Stress Test aka DFAST efforts) and internal planning initiatives. This role will offer significant exposure to senior management and broad leadership accountability on aspects of the firm's capital adequacy and stress-testing activities as they relate to Credit and Market Risk RWA. 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. The role will also involve significant direct interaction with the regulators. Excellent interpersonal skills are required given the high level of interaction with senior members, as well as the ability to work under pressure to meet tight deadlines.
The Director will be responsible for
Managing the production of RWA and SLE actuals and forecasting
Continuously refining the existing methodologies and introducing sophisticated techniques for RWA projections of Credit and Market Risk RWA (Basel III Standardized and Advanced approaches) as well as SLE
Substantively manage, contribute to, and coordinate either across functions or within Treasury for RWA Forecasting methodologies and Documentation, including the remediation plans as needed
Contribute to the creation of Senior Management-ready materials, particularly CCAR presentations to Lines of Businesses, Senior Governance Group, Independent Risk Management, Finance and Regulators.
Work across the firm and various risk types (Market, Credit) to drive change and influence risk and regulatory outcomes
Review risk exposure calculations for RWA actuals and forecasts for Basel, CCAR and DFAST requirements. Define and establish attribution analysis for analyzing the changes in forecasted RWA changes with respects major risk factors
Understand the linkages and interconnectivity between stress loss models and RWA forecasting models
Develop a strong working relationship with Finance, Front Office, Treasury, Technology, Audit, Independent risk and other counterparts across the organization
Engage with Regulators to explain results, analysis and high-level methodologies employed for stress testing
Identify potential process improvements and capabilities to increase consistency, transparency, and reliability of stress testing results.
Develop 2 nd and 3 rd levels of leadership and expertise on credit and market risk RWA
Comprehensive understanding of Basel III Credit and Market RWA requirements and processes –abreast with the latest CCAR guidelines, understanding the data, oversee the submissions, synthesize the submissions, coordinating with other work streams
In-depth knowledge of Basel International framework and US Final Basel requirements
Familiarity with structured products terminology and possess some analytical modeling ability. Knowledge of advanced Credit risk and Market risk models
Ability to define, articulate and re-engineer complex processes and procedures, with appropriate controls, and think both strategically and tactically while driving meticulous execution
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
Expertise in CCAR clearly a plus, but if not, sufficient expertise in managing a similar stress testing regime or proven ability to quickly come up to speed in managing a complex financial reporting process of comparable in complexity to CCAR
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
Solid Microsoft Excel skills and the ability to quickly develop advanced knowledge of MS Excel and Access (or other database front end query applications).
10 - 15 years’ experience in related field