Title : Manager Model Governance

Business: Risk Management

Division: Finance Chief Risk Office

Officer Title: Vice President

C-Grade: C13

Reporting to: Gabriel Kuhn, Director, CGME Head of Risk Analytics

Location: Frankfurt

Legal Entity : CGME

Job Purpose/Overview:

Citigroup Global Market Europe (CGME) is Citi’s EEA investment firm in Germany, where the Independent Risk Management, led by the CGME Chief Risk Officer, acts as the second line of defence for the holistic management of risk across all business lines of CGME.

Within this, the Finance CRO (FinCRO) Model governance team, led by the CGME Head of Risk Analytics Governance, is responsible for the sound governance around the Pillar 1 and 2 internal models, including the implementation of regulatory requirements relevant to the risk models developed by the organization, and the regulatory interaction pertaining to these models.

The role of the team is to:

• Engage with internal stakeholders for the implementation of regulatory requirements pertaining to internal Pillar 1 models for market and counterparty credit risk.

• Engage with internal stakeholders for the implementation of regulatory and business requirements pertaining to internal risk models for ICAAP and Stress Testing (Pillar 2), in close partnership with the CGME team responsible for running and analysing the models and their outputs.

• For the entity CGME, act as the governance focal point for reviewing and ascertaining the ongoing performance of Citi’s Pillar 1 and Pillar 2 models applied in CGME.

• Scope, manage, coordinate, and collate material requested by regulators for regulatory exams, internal and external audits, by liaising with stakeholders internally for the generation and collation of replies.

The team also works closely with risk model developers, being part of the organization Data, Analytics, Reporting & Technology (DART) and has a mandate to provide analytics and analyses to Independent Risk Management and other partners across Citi. The team develops credit, market, and counterparty risk analytics to consistently measure risk, optimize capital, dimension risk appetite, and allocate these metrics to businesses and geographies; as well as supporting Basel, internal and external stress testing (including ICAAPs, EBA Stress Testing, and CCAR), and loan loss reserve processes.

Key Responsibilities:

• Arranging, coordinating and assisting with running of the meetings of governance forums for the review of model performance and/or related regulatory or audit questions, for CGME’s Pillar 2 ICAAP / Stress Testing models, by:

• Developing and agreeing with stakeholders relevant Committee and/or Working Group agendas and the coordination of materials to be presented to the Committee

• Reaching out and engaging with relevant stakeholders, as required

• Recoding the relevant Committee and/or Working Group meetings by circulating, agreeing and finalising the relevant minutes

• Creating and maintaining the relevant governance forum action log, track actions and provide status updates to management

• Support the implementation of relevant ECB/BaFin/Deutsche Bundesbank/EBA regulatory requirements as they pertain to internal risk models for ICAAP and Stress Testing by reflecting these in relevant internal procedures, policies and/or Committee Terms of References, as required, by:

• Reviewing requirements and communicate key points to relevant stakeholders to get engagement and buy‑in

• Generating and/or update relevant procedures, policies or Terms of Reference

• Discuss with stakeholders and obtain required internal approvals

• Working in close partnership with the CGME team responsible for running and analysing the Pillar 2 models and their outputs

• Coordination of Regulators’ Information Requests prior to regulatory visits and production of replies to their formal Feedback Letters, as required, by:

• Communicating to internal stakeholders to obtain their engagement

• Collation of replies and supporting material and review and agree with relevant stakeholder senior management

• Agreement of follow-ups with the regulator during the regulatory visit and produce written record thereof

• Draft formal reply to the regulator and review, agree draft with relevant management and obtain required sign-off

• Working in close partnership with the CGME team responsible for running and analysing the Pillar 2 models and their outputs

• Familiarize with the other team members duties in order to be able to provide a minimum level of deputy support

• Appropriately assess risk when 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 behaviour, conduct and business practices, and escalating, managing and reporting control issues with transparency

• Understand the significant conduct risks specific to their product or function and individual role at CGME and comply with the roles and responsibilities defined by Citi’s policies and subordinate policy documents on conduct risk management

• The deputy for this role is a Team member as assigned by the Team Head/Direct Manager

Person Specification

Experience, skills and capabilities:

• Experience in the ICAAP process and Stress testing of a bank as well as the underlying models, preferably with knowledge on the Trading Book

• Regulatory interaction through roles in Market risk and/or Counterparty Credit Risk management or regulatory capital policy and reporting is a plus

• Relevant working experience in wholesale banking and exposure to standard market products and models; a good appreciation of basic principles associated with risk models like measures like EPE, EAD etc. and related models would be key

• Up-to-date working knowledge of regulatory landscape and requirements and change, specifically those from Basel and European regulatory authorities

• Governance type of work including Committee and Working Group meetings of experts to review model performance related questions, ensuring key regulatory issues are also discussed as they relate to internal models

• Relevant working experience in a bank, consultancy or advisory firm would be considered

Skills:

• Excellent interpersonal skills necessary to deal with colleagues at all levels across the firm

• Strong communication skills and exceptionally good at stakeholder management at all levels

• Flexibility to work with colleagues and stakeholders in an international team operating across different regions and time zones

• Excellent organizational and project management skills

• Strong writing skills, with ability to synthesize complex technical information

• Strong analytical skills & proven ability to solve problems independently

• Track record of success in delivering high quality work in a fast paced and dynamic environment

Job Family Group:

Risk Management

Job Family:

Risk Analytics, Modeling, and Validation

Time Type:

Full time

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