Understand and maintain routine and ad hoc country and legal entity stress testing requirements in the clusters
Support the delivery of analytical support for scenario design, stress loss, and economic capital where needed, in collaboration with other DART and Risk Management teams
Participate in key ICAAP and other regulatory stress testing-related committees, forums, and reviews as required
Engage with Internal Audit (IA); track applicable regulatory matters, audit findings, corrective actions and milestones including collection, review, and retention of evidence
Stress Test Framework Development and Execution
Contribute to development of regional analytical and reporting solutions to bridge the gap between central models (wholesale credit, concentration risk, market risk, IRRBB)
Develop Book of Work for ICAAP & stress testing related activities for the cluster
Execute a framework to support legal entity regulatory stress testing execution and submissions in the cluster
Assist country and legal entity Risk Management teams to comply with related policies
Participate in development and analysis of stress scenarios, assumptions, and methodologies to ensure they are appropriate for use at the country and/or legal entity levels
ICAAP & Stress Testing Governance
Support the oversight of the Global ICAAP Standard requirements and control activities in the clusters
Ensure that legal entity stress tests are executed pursuant to the relevant Citi policies/ standards/ procedures, and local regulations, e.g., Model Risk Management policy, Enterprise Stress Testing policy, ICAAP Standard etc.
Requirements:
6+ years Risk Management background (preferable) with a focus on capital planning, stress testing and scenario design as well as Pillar 2 models/methodologies
Strong knowledge of the principles of market risk is an advantage
Familiarity with Internal Capital Adequacy Assessment Process (ICAAP) and local entity regulatory stress tests (e.g., Industry-Wide Stress Test, Supervisory-Driven Stress Test etc.)
Experience with development of macroeconomic/ market stress scenarios, relevant regulatory guidance,
Experience in producing reports and presentations for senior audiences
Ability to effectively partner with key constituents and stakeholders
Ability to distill technical concepts and results into intuitive, impactful, and easily digested messages
Master’s degree in Economics, Finance, Statistics
What we offer:
Professional development in an international role, which provides a regular exposure to numerous countries within MEA & Europe clusters
An enjoyable and challenging learning path, which leads to a deep understanding of various risk stripes and services as well as development of your personal skills.
At Citi Solutions Center we cooperate with other Citi entities from all over the world. Working in our organization involves working on international projects, in a culturally diverse and dynamic environment as well as learning top quality organizational culture.
Competitive social benefits (medical care, multisport, life insurance, pension plan, holiday allowance, flexible working schedule and other).