Credit Policy Risk Manager - Stress Testing


Main responsibilities include but are not limited to:

·         Independently manage CCAR and CECL model development process from business standpoint.  This involves understanding model policy, evaluating various models provided by model developers in the light of policy, completing model documentation (including but not limited to Model Development Documentation Template (MDDT), Ongoing Performance Assessment reports (OPA) and Annual Model Review documentation (AMR)).

·         Oversee the provision of source data to model developers, managing the data reconciliation processes and undertaking data quality checking and reporting on a monthly basis.

·         Independently manage CCAR (quarterly), CECL (quarterly), and ICAAP (annual) model loss forecasting exercises

o    Reviewing macroeconomic scenarios and corresponding model inputs (including an outlook for ENR and new originations).

o    Liaise with stakeholders in Finance and Product to gain agreement on the model inputs, and then ensure the loss forecasting models are run as per policy;

o    Discharging the model loss forecasting governance requirements by ensuring compensating controls for model limitations are documented and uploaded to corporate repositories as required

o    Receive and review the model outputs (losses & defaults).  Manage the reporting of model loss forecasting details to Global Risk using the required templates; this is done by managing offshore resources at EXL as well as internal resources to ensure that the templates are completed within tight timelines.

o    Lead discussion of results on the corporate documentation with Independent Risk, ensuring its understanding and approval of the same.

o    On an irregular basis APRA will require an additional stress test to be run.

o    Liaise with Model Risk stakeholders to effect the running of the loss forecasting model in such a manner that meets APRA requirements

o    Manage the relationship with the Risk Reporting Unit (RRU), and oversee the compilation of regular unsecured MIS, review reports and quickly highlight issues arising with the Head of Unsecured Risk.

o    Understand the unsecured data structures so that they can be leveraged for various model performance reports, and other reports required by Independent Risk, potentially including the unsecured components of the Portfolio Quality Review (PQR) and other regional reports; overseeing the RRU and internal resources to ensure that the report is produced efficiently and accurately.

o    Contribute to and/or manage the production of presentations to Local, Regional and Global stakeholders as well as regulators, completing them in a timely fashion.

o    Perform periodic and ad-hoc MIS and statistical analysis, and make use of SAS and Excel for code development, to assist in the implementation of new projects and decision-making processes.

o    Effectively manage analyst staff including those in third party organization or teams (for example EXL and RRU)

·         Ensure that activities and initiatives being managed are compliant to existing policies

·         Support review processes and assist reviewers and auditors

·         Lead the identification and drive resolution of issues

·         Direct the communication of status and issues to all stakeholders, including senior management, on a timely basis

·         May be responsible for detailed analysis of issues where the best course of action is not evident from the information available, but actions must be recommended/ taken

·         Other business jobs or responsibilities as defined by the manager

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Job Family Group:

Risk Management

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Job Family:

Credit & Portfolio Risk Management

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Time Type:

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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.

View the "EEO is the Law" poster. View the EEO is the Law Supplement.

View the EEO Policy Statement.

View the Pay Transparency Posting


Main responsibilities include but are not limited to:

·         Independently manage CCAR and CECL model development process from business standpoint.  This involves understanding model policy, evaluating various models provided by model developers in the light of policy, completing model documentation (including but not limited to Model Development Documentation Template (MDDT), Ongoing Performance Assessment reports (OPA) and Annual Model Review documentation (AMR)).

·         Oversee the provision of source data to model developers, managing the data reconciliation processes and undertaking data quality checking and reporting on a monthly basis.

·         Independently manage CCAR (quarterly), CECL (quarterly), and ICAAP (annual) model loss forecasting exercises

o    Reviewing macroeconomic scenarios and corresponding model inputs (including an outlook for ENR and new originations).

o    Liaise with stakeholders in Finance and Product to gain agreement on the model inputs, and then ensure the loss forecasting models are run as per policy;

o    Discharging the model loss forecasting governance requirements by ensuring compensating controls for model limitations are documented and uploaded to corporate repositories as required

o    Receive and review the model outputs (losses & defaults).  Manage the reporting of model loss forecasting details to Global Risk using the required templates; this is done by managing offshore resources at EXL as well as internal resources to ensure that the templates are completed within tight timelines.

o    Lead discussion of results on the corporate documentation with Independent Risk, ensuring its understanding and approval of the same.

o    On an irregular basis APRA will require an additional stress test to be run.

o    Liaise with Model Risk stakeholders to effect the running of the loss forecasting model in such a manner that meets APRA requirements

o    Manage the relationship with the Risk Reporting Unit (RRU), and oversee the compilation of regular unsecured MIS, review reports and quickly highlight issues arising with the Head of Unsecured Risk.

o    Understand the unsecured data structures so that they can be leveraged for various model performance reports, and other reports required by Independent Risk, potentially including the unsecured components of the Portfolio Quality Review (PQR) and other regional reports; overseeing the RRU and internal resources to ensure that the report is produced efficiently and accurately.

o    Contribute to and/or manage the production of presentations to Local, Regional and Global stakeholders as well as regulators, completing them in a timely fashion.

o    Perform periodic and ad-hoc MIS and statistical analysis, and make use of SAS and Excel for code development, to assist in the implementation of new projects and decision-making processes.

o    Effectively manage analyst staff including those in third party organization or teams (for example EXL and RRU)

·         Ensure that activities and initiatives being managed are compliant to existing policies

·         Support review processes and assist reviewers and auditors

·         Lead the identification and drive resolution of issues

·         Direct the communication of status and issues to all stakeholders, including senior management, on a timely basis

·         May be responsible for detailed analysis of issues where the best course of action is not evident from the information available, but actions must be recommended/ taken

·         Other business jobs or responsibilities as defined by the manager

-------------------------------------------------

Job Family Group:

Risk Management

-------------------------------------------------

Job Family:

Credit & Portfolio Risk Management

------------------------------------------------------

Time Type:

------------------------------------------------------

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.

View the "EEO is the Law" poster. View the EEO is the Law Supplement.

View the EEO Policy Statement.

View the Pay Transparency Posting

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