Market Risk Senior Officer - C14

Job Description Template

401159 - Market Risk Senior Officer I - C14

Job Title:

Risk Manager, Global Market Risk Model Governance, SVP

This role is an opportunity for a career move in market risk model governance at the heart of a global financial institution, to bring your skills in change management in an evolving regulatory environment with the Fundamental Review of the Trading Book (FRTB) Internal Model Approach (IMA) and FRTB Standardised Approach (SA) implementation.

Core to the role is leading in the development, implementation and management of risk model governance frameworks as well as assumptions limitations and weaknesses review methods, including a firmwide multi-functional interaction, coordination and communication, analysis and problem solving.

By joining Citi, you will become part of a global organisation, whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

The role sits in the Market Risk Model Governance team within Citi’s Global Market Risk or GMR, the firm’s firmwide market risk management function.

The team’s focus includes:

• Leading in the development, implementation and management of model governance frameworks that includes Working Groups, for the review of model performance and model changes, etc..
• The creation and establishment of approaches for the review of assumptions, limitations and weaknesses (ALW) in the implementation of regulation like FRTB SA and FRTB IMA.

This role is for a dynamic self-starter that is keen to become an integral part and to fully engage in the design, creation, maintenance, implementation and running of market risk model governance framework in collaboration with other stakeholders at Citi, including Market Risk Managers, Model Risk Management, Market Risk Analytics, Finance etc. Project and change management skills are essential to underpin the organisation and coordination in relevant change programmes across businesses and regions, in which Citi operates.

Responsibilities include supporting and management of multi-functional interaction for deliverables:

• With relevant Citi stakeholders like Model Risk Management, Market Risk Managers, Market Risk Analytics etc., as well, as outside experts for the design of a target state market risk model governance, compliant with relevant Regulatory requirements and, in particular, ‘Use Test’ requirements. Main focus is governance and oversight for:
  • model performance and coverage review, as well as
  • changes to models or new models with potential relevance to Regulatory notification.
• With Control and Internal Audit stakeholders to support ensuring credible challenge throughout the remediation process and validation of results in line with Citi’s Internal Audit requirements.
• To create / coordinate updates and notifications to Management and Senior Citi Risk forums but also to Citi Regulators.

• Detailed internal risk model governance and regulatory management expertise, including FRTB SA and FRTB IMA, gained in Market Risk Management, Model Risk Management or product valuation specialisation or in regulatory market risk capital reporting, with First Line and/or Second Line experience or in an associated consulting role, risk model governance and quantitative risk exposure.
• In depth knowledge and understanding of relevant regulatory rulebooks, as they pertain to market risk, market risk models, e.g. current Basel IMA rulebook and upcoming FRTB SA and FRTB IMA.
• Excellent oral and written communications skills; must be clear and articulate communicator.
• Ability to underpin change to business practices by working effectively across a global organisation.
• Self-starting…