10 days old

Global Systematic Stress Testing Methodology and Applications Lead

Citigroup
New York, NY 10176
The successful candidate will join the Enterprise Risk Analytics (ERA) team within Enterprise Risk Management (ERM) to develop the methodology and applications of Citis internal enterprise stress testing program called GSST. This person will manage a team of circa five others and report to the head of Methodology & Applications, who reports to the head of ERA. ERM, a part of Independent Risk Management, is responsible for enterprise-level risk identification, risk appetite and limits, risk analytics, and risk frameworks and policies. The ERA team owns:


+ Enterprise stress testing policy

+ Set of enterprise stress tests executed monthly

+ Risk Capital metric, enterprise risk measurement metric

+ Risk Appetite Ratio/Surplus (RAR/RAS), enterprise risk-return metrics


All these initiatives will see rapid growth in next 2-3 years as stress testing is established as a key risk management, capital management, and strategic planning tool across the enterprise; and enterprise risk and risk-return metrics are enhanced as part of the redesign of Citis Risk Appetite framework.


More broadly, ERA provides analytical support to ERM. The team develops and implements tools and models; interprets CCAR, enterprise-level stress testing, risk capital, and risk-based performance results; executes tactical stress tests and other analyses; engages with stakeholders to apply stress testing and other ERA metrics consistently throughout the organization; and sponsors the development of additional and enhanced enterprise-level risk models to support capital and strategic planning, risk identification and limits, and franchise and transaction evaluation.


**Key Responsibilities**


+ Engaging with stakeholders in the 1st and 2nd lines of defense to develop applications of Citis internal enterprise stress testing program (GSST) to a set of corporate purposes, which includes stress loss limit monitoring, earnings volatility management, risk-return measurement, risk identification (Risk ID), management capital buffer calibration, and common tangible equity (TCE) allocation

+ Implementing the GSST risk pool transition plan, annual stress testing plan (including refresh), and accompanying set of regulatory deliverables to comply with the firms enterprise stress testing policy and other objectives

+ Defining the requirements for establishing a sustainable process for the design and expansion of Risk ID-based macroeconomic stress scenarios in GSST

+ More broadly, defining the requirements for the target state of GSST, e.g., full alignment of stress loss models with those used in the CCAR and Capital Planning processes

+ Enhancing the decentralized review process for GSST results to comply with the firms enterprise stress testing procedures

+ Maintaining comprehensive documentation on GSST methodology and applications, sponsoring new/enhanced methodology and presenting such developments to the Stress & Risk Capital Council, which oversees GSST methodology

+ Addressing or remediating findings from the annual independent review and challenge of the GSST risk pool

+ Hiring and managing a team of circa five others to support these responsibilities


**Qualifications**


+ Education: Excellent academic record, with graduate degree in quantitative discipline, such as economics, finance, statistics/mathematics, and sciences, or undergraduate degree with additional years of relevant experience is required

+ Experience:

+ Ten or more years of experience in Risk or relevant Finance, Front Office/Business, or Management Consulting roles, which must include experience across multiple risk stripes such as retail/wholesale/counterparty credit risk, market risk, operational risk, asset and liability management risk, pension liability risk

+ Expertise in design, execution and/or review of stress testing or similar processes in systemically important financial institutions is strongly preferred

+ Experience in all the following is desirable: risk identification, scenario design, development or validation of stress loss forecasting and/or and scenario expansion models

+ Experience in managing process change in large organizational settings

+ Skills

+ Strong analytical skills, technical skills a plus

+ Strong communication skills, verbal and written, with ability to synthesize complex technical information

+ Experience in developing strategic plans for complex processes and in drafting senior management communications

+ Critical success factors include keen ability to develop an agenda and influence others to drive its implementation


The successful candidates will have the opportunity to work on a wide range of methodological issues relevant for senior management decision making. They will interact confidently with business, risk management, and finance professionals across multiple risk stripes and geographies, and in so doing gain an expansive view of the firm.


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**Job Family Group:**


Risk Management

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**Job Family:**


Risk Analytics, Modeling, and Validation

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**Time Type:**


Full time

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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.


Citigroup Inc. and its subsidiaries ("Citi) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review **Accessibility at Citi (https://www.citigroup.com/citi/accessibility/application-accessibility.htm)** .


View the "EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) " poster. View the EEO is the Law Supplement (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/OFCCP\_EEO\_Supplement\_Final\_JRF\_QA\_508c.pdf) .


View the EEO Policy Statement (http://citi.com/citi/diversity/assets/pdf/eeo\_aa\_policy.pdf) .


View the Pay Transparency Posting (https://www.dol.gov/sites/dolgov/files/ofccp/pdf/pay-transp\_%20English\_formattedESQA508c.pdf)


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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.
Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.

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Posted: 2022-05-13 Expires: 2022-06-12

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Global Systematic Stress Testing Methodology and Applications Lead

Citigroup
New York, NY 10176

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