Enterprise Stress Testing Sr. Group Manager- Liquidity Risk and Non-traded Market risk (Director) - Hybrid

Enterprise Stress Testing Senior Group Manager - Liquidity Risk and Non-Traded Market Risk

Team / Role Overview

This role sits in Enterprise Risk Analytics (ERA), and will review and challenge the stress testing process, which requires proven partnership, leadership and credit and market risk expertise as the team will coordinate across multitude of stakeholders in first line of defense teams, ERM governance, model development, reporting, technology, Internal Audit, and external regulators.

He / She will have the opportunity to work with senior stakeholders in 1LoD GLM and 2LoD GLRM. He / She needs to leverage the analytics expertise on both the loss models and scenario models to support the firmwide stress testing program.

Job Description

Conduct annual reviews of programs for liquidity and market non-trading stress testing programs, including the regulatory driven stress testing, internal stress testing, and the risk pool contribution to enterprise level stress testing programs (e.

g., GSST, RST, ICAAPs).

• Contribute to additional review, which may be required based on changes in scenario, assumptions, or methodologies, as well as significant macroeconomic or market events
• Conduct data analysis and support pool owners in reviewing the results.
• Analyze and interpret reports, make recommendations addressing business needs.
• Communicate findings to applicable stakeholders and ensure action plans are defined to remediate issues
• Evaluate stress test results and actions (e.g. limit setting / monitoring, risk appetite, risk identification).
• Assist in the development of analytic engines for business product lines.
• Communicate results to a variety of audiences.
• Conduct analysis and package it into detailed technical documentation reports to meet regulatory guidelines and exceed industry standards.
• Identify modeling opportunities that yield measurable business results.
• Supervise junior team members.

Job Requirements

• Demonstrated industry experience in treasury & funding risk or risk management fields, including liquidity, Non-traded market risk management, model validation, or model analytics.
• Experience in oversight on interest rate risk in the banking book (IRRBB), including IRRBB methodology and analytics.
• Experience in relevant regulatory guidance, including the Reg YY, SR12-7
• Fewer years of relevant experience will be considered for candidates with higher academic qualifications and / or certifications such as a PhD, a second master's degree, FRM or CFA.
• Knowledge of risk appetite, limit setting, banking book / trading book products and risk management practices
• Consistently demonstrates clear and concise written and verbal communication skills
• Self-motivated and detail oriented
• Demonstrated project management and organizational skills and capability to handle multiple projects at one time
• Proficient in Microsoft Office (EXCEL), SAS, R, Python or other programing languages

Job Family Group : Risk Management

Risk Management

Job Family :

Risk Analytics, Modeling, and Validation

Time Type : Full time

Full time

Primary Location :

New York New York United States

Primary Location Full Time Salary Range :

$170,000.00 - $300,000.00

In addition to salary, Citi's offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards.

Citi offers competitive employee benefits, including : medical, dental & vision coverage; 401(k); life, accident, and disability insurance;

and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.

For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

Anticipated Posting Close Date :

Jul 29, 2024

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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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