UK Credit Risk Model Oversight Lead - SVP - (Hybrid)

The successful candidate will join the Legal Entity Analytics (LEA) team within the Global Data, Analytics, Reporting and Technology (DART) Organisation. The mandate of LEA is to provide Model Sponsor support activities, define methodology assumptions during model development, develop models and support RMCO/CROs in assessing stress testing results.
The successful candidate for this role will act as an interface between UK Legal Entity Risk Management, Model Development and Scenario teams, coordinating across the Model Sponsor, Model Developer, and Risk Reporting to provide analytical oversight over the wholesale/counterparty credit risk model use and results for UK ICAAP and TWD.

Responsibilities:

• The role requires developing strategic solutions to design and deliver process enhancements in the end-to-end stress testing exercises, and supporting ongoing live exercises. Below are the main roles and responsibilities expected to be performed by the UK Credit Risk Model Oversight Lead:
• Lead Wholesale and Counterparty Credit Risk Stress Testing activities for CGML primarily covering ICAAP and TWD
• Contribute to the development of a LEA analytics service model that delivers central risk modelling and stress testing capabilities to the CGML clients (UK CRO, Heads of Risk Stripes) in a consistent and efficient manner. Develop controls to ensure this
• Contribute to the design of stress scenarios by identifying most relevant trading book risks and wholesale/counterparty credit risk modelling drivers
• Act as a point person for addressing any questions related to wholesale /counterparty credit risk model results including any analytical support for appropriate interpretation of the results
• Engage directly with senior stakeholders across Risk, Finance, Country Management, and Business Lines through frequent communication and senior briefing materials
• Compiling the PRA and non-PRA (e.g. business, internal audit) wholesale/counterparty credit risk modelling requirements for stress testing and economic capital assessment for ICAAP and TWD
• Assessing the requirements, (regulatory) gaps and constraints to existing wholesale and counterparty credit risk models and prioritising these with all stakeholders
• Own and maintain the Model Inventory for wholesale and counterparty credit risk models used in UK ICAAP and TWD
• Act as the liaison between LEA and Model Risk Management for timely approval of the model developments, changes, compensating controls, and redressals of model limitations.
• Review and challenge of the model documents (related to wholesale and counterparty credit risk models) prepared by the Model Developer including model validation report outcomes and coordinating remediation plan
• Facilitate assessment of appropriate Type II overlays to be applied on wholesale credit/counterparty credit risk model results, in line with Model Risk Management policies, and front running the discussions with the model sponsors and Model Risk Management.

Knowledge, skills and experience required:

• Excellent academic background, including advanced degree (e.g., PhD/Master) in quantitative discipline, such as economics, finance, statistics/mathematics, sciences or engineering
• Solid experience in financial services sector, in roles requiring superior problem-solving analytical capabilities (in the context of ICAAP and/or TWD is highly desirable)
• Experience in quantitative risk management with experience in Counterparty Credit Risk and modelling of concepts such as Incremental Risk Charge (IRC), Expected Positive Exposure (EPE) and XVA is strongly preferred
• Strong analytical skills & proven ability to solve problems independently
• Familiarity with PRA regulatory guidance around financial stress testing principles and methodologies (inc. TWD), are strongly preferred
• Demonstrated project management and organizational skills and capability to handle multiple projects at one time and ability to build relationships confidently at all levels
• Working knowledge in topics related to Model Development Lifecycle and Model Risk Management
• Highly motivated, with ability to work both independently and collaboratively
• Logical and thoughtful approach to work, with ability to perform well under pressure and meet tight deadlines
• Giving careful attention to detail, whilst also considering bigger picture and wider implications
• Capable of delivering high quality results, with challenging but positive influencing style
• Exceptional writing and PPT skills, with the ability to synthesize complex concepts and translate into effective presentations to senior audiences.

What's on Offer?
The successful candidate will have the opportunity to work on a wide range of strategic and analytical topics within capital planning and stress testing frameworks. The candidate will also have the opportunity to interact with a wide team of quantitative risk analysts, risk management professionals and senior management across multiple geographies and businesses, and in doing so, gain an expansive view of the firm.

This job description provides a high-level review of the types of work performed. Other job related duties may be assigned as required.
Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

Valuing Diversity:
Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organizational success.

Citi is an Equal Opportunities Employer
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Job Family Group:
Risk Management -------------------------------------------------
Job Family:
Risk Analytics, Modeling, and Validation ------------------------------------------------------
Time Type:
Full time ------------------------------------------------------
Citi is an equal opportunity and affirmative action employer.

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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