Description
This role is within the RWA Forecasting Model Oversight team which is a part of broader Capital Forecasting and Analytics team. This Capital Forecasting and Analytics team is responsible for capital forecasting for Citigroup and CBNA, while supporting senior management decision-making to achieve the firm’s capital targets. The group leads forecasting and analytics across the capital continuum, which ranges from business-as-usual environments to stress scenarios. Group capabilities include forecasting capital ratios, and related measures such as capital capacity, Risk Weighted Assets (RWA), Supplementary Leverage Exposure (SLE) and the Global Systematically Important Bank (GSIB) score. The group partners and collaborates extensively across Treasury and Finance teams including Capital Management, Capital Planning, Citi Treasury Investments (CTI), Global Liquidity Management (GLM), Asset Liability Management (ALM), FP&A, Investor Relations, Controllers, Tax, ICG / GCB Business Treasuries, CBNA Treasury and the Risk organization.
Responsibilities :
- Manages RWA forecasting models for quarterly stress-testing cycles (CCAR / DFAST) across all risk types as a sponsor, developer or user, including but not limited to Model Risk Management (MRM) submissions (e,g, ongoing monitoring, validation, limitation remediation), model documentation
update, overlays etc. as per internal policies.
Provides analysis and due diligence of macroeconomic variable forecasts and modeled output in quarterly stress-testing cyclesMaintains and manages inventory of assumptions, models and deterministic tools used in RWA forecasting processPerforms business analysis to respond to regulatory and business questions and provide portfolio insights.Performs data analysis to monitor and track data quality and completeness of data.Provides in-depth review of existing models and methodologies to identify weaknesses and suggest resolutions and compensating controls.Assists enhancements in the RWA forecasting process design and system implementationAssists in model automation activities for RWA forecasting by liaising with technology teamsHelps in non-BAU activities like creating a benchmark RWA model, updating models for new regulations like BASEL IV, priority macroeconomic variable identification etc.Assists project manager and work with business users to gather business requirements and draft and co-ordinate approval for Business Requirement Documents (BRD).Performs other duties and functions as assigned.Has the ability to operate with a limited level of direct supervision.Can exercise independence of judgement and autonomy.Acts as SME to senior stakeholders and / or other team members.Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.Qualifications :
10+ years of relevant experience, within the financial services industry preferredKnowledge of Basel regulatory guidelines and working experience and understanding of banking domainKnowledge of life cycle of forecasting models (development, validation, maintenance).Ability to work with complex systems and data and good working knowledge of data analytics tools like Python, R, SQL, VBA and advanced Excel.Should have Excellent proficiency in Microsoft Office – particularly Excel (metrics and data analysis), PowerPoint (presentation decks), and Word (writing and editing procedural and technical documentation).Ability to build and maintain relationships with the ability to work collaboratively and with people at all levels of the organization.Good knowledge of Citi products, risk processes and controls with good understanding of regulatory requirements and risk management framework is preferable.Experience in compiling process and data quality metrics, analyzing results to clearly communicate data-driven analysis to senior management.Proficient ability to interpret business requirements for the purpose of liaising with Technology Developers.Requires communication and diplomacy skills in order to guide and influence others.Experience and demonstrated ability to manage competing priorities in a complex and dynamic environmentSelf-motivated with the ability to make decisions in the absence of detailed instructions.Education :
Bachelor’s / University degree or equivalent experiencePreferably MBA or equivalent finance degreeCandidates with CFA, FRM or PRMIA certifications will be preferredJob Family Group : Finance
Job Family :
Balance Sheet Management
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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