Role Overview:
Enterprise Risk Analytics (ERA) is a part of Citi’s Risk Management organization that is responsible for Enterprise-level risk metrics including stress testing. Enterprise-wide stress testing program is sponsored by the Citigroup CRO, who reviews the stress testing results with the rest of the executive management team. Enterprise Risk Analytics & Stress Testing is responsible for Enterprise Stress Testing with Legal Entity Oversight (LEO), Material Legal Entity (MLE) Stress Testing and ICAAP execution and oversight, Firmwide Scenario Design and Expansion which cover Enterprise programs and all Legal Entities.
The Enterprise Scenario Design (ESD) team within ERA is responsible for designing macro-economic and market shock scenarios for all enterprise level stress testing, capital planning, and reserve adequacy usages. Some of the key uses for scenario design include regulatory stress testing (CCAR/DFAST), business and capital planning and internal risk management for Citigroup.
The scenario design process entails evaluating and understanding the firm’s risk identification and creating both hypothetical and historical scenarios that stress the firm-specific idiosyncratic risk profile. The process also involves an understanding of XVA and of counterparty risk and designing scenarios that holistically stress the firm’s risk profile. Thoughtfully designed scenarios are not only critical for managing risk but also for optimizing capital usage.
The Market Scenario Design Lead will need to be a thought leader. The position requires a deep understanding of financial markets and macro-financial linkages. The ideal candidate should have the ability to envisage and construct scenarios that may not have occurred in history but are plausible and represent a significant risk. Markets are dynamic and evolving—the candidate should keep abreast of the latest developments and think deeply about the evolving risk landscape. The lead will collaborate with Risk ID and with stress testing program managers to enhance processes. The position also entails significant engagement with senior stakeholders and requires excellent communication skills.
Responsibilities:
- Manage and develop a team of experienced analysts/strategists/modelers
- Strategically apply analytical thinking and subject matter expertise to design and expand market shock scenarios for regulatory stress testing and internal risk management.
- Develop and maintain scenario design process and documentation through engagement with stress testing program management
- Maintain and update a comprehensive suite of market scenarios.
- Develop, maintain, and implement models, subject to internal risk management policy.
- Establish and maintain relationships with senior stakeholders, including engaging with and presenting to senior governance/approval committees.
Qualifications:
- Graduate degree in Finance, Business Administration, Operations Research or another quantitative field (Computer Science, Mathematics, etc.), or an undergraduate degree with additional years of relevant experience is required
- Demonstrable experience in financial markets, either in trading, research, or as a strategist.
- Excellent communication skills— effective communication with stakeholders and senior management is vital.
- Thorough knowledge of market risk, counterparty credit risk.
- Experience in model development and model risk management.
- Familiarity with regulatory landscape facing global banks. Ideally, have worked in banking industry or regulatory institutions
- Experience in people management and will have led teams previously.
Competencies:
- Demonstrates integrity and sound independent risk judgment
- Operates to the highest ethical standard, acts as a role model to others
- Ability to work comfortably in a matrix environment
- Self-starter, motivated, aspirational
- Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.
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Job Family Group:
Risk Management
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Job Family:
Risk Analytics, Modeling, and Validation
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Time Type:
Full time
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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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