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Confirmation of Basel Classification Review & Analysis (COBRA)
The SVP, Lead Market Risk Basel Reviewer manages independent review and challenge of regulatory capital treatment of exposures across Citi’s Markets businesses. The role requires a thorough understanding of fundamental credit and credit risk concepts and/or associated regulatory capital requirements, including Standardized and Advanced Risk Weighted Assets (RWA) requirements under US Basel Rules. The role also requires working knowledge of upcoming key Basel regulations, e.g. Basel 3 endgame and FRTB. Familiarity with regulatory capital reporting is also preferred.Responsibilities:
Assist the Head of COBRA and Head of Markets Basel Review in executing the global Review coverage plan by leading COBRA Reviews
Maintain effective communication with the Business, Finance and Independent Risk to ensure a clear understanding of the implementation of US Basel Rule requirements and associated governance processes
Assess the application of US Basel Rules and calculation of RWA with an emphasis on the rules pertaining to markets transactions including counterparty credit risk, CVA and FRTB.
Proactive communication to senior management of any concerns and/or emerging risks that may jeopardize the assigned COBRA Review Entities
Assess counterparty credit risk and market risk for Securities Financing Transactions and Over-the-Counter transactions
Evaluate whether the Business has deficiencies in their governance and oversight that allows for incorrect RWA calculations
Provides critical challenge of appropriateness and sufficiency of regulatory capital top-side adjustments as proposed by Finance
Evaluation of the appropriateness of Corrective Action Plans (CAP) resulting from COBRA Reviews
Provide ongoing guidance as CAPs are implemented to help ensure a successful subsequent validation of the effectiveness of CAPs after implementation by the Business
Accountability for the quality and consistency of work products that include Regulatory Capital Assessment Documents, COBRA Capital Review Plans, and Review Reports created for the assigned COBRA Review Entities
Assist in training on various US Basel Rule topics
Ad hoc projects
Knowledge/Experience:
Significant experience with the US Basel Rules for Advanced, Standardized and Markets rules specifically as they pertain to RWA requirements and working knowledge of upcoming key Basel regulations, e.g. FRTB rule
Demonstrable financial services experience including 10+ years of experience in market risk and/or counterparty credit risk resulting from markets transactions
Experience in complex structures enabling an individual to deconstruct transactions and understand all the underlying risks
Bank regulatory environment experience and close liaison with banking and other related industry regulators is advantageous
Conversant in credit and markets policy matters
Ability to analyze root causes and anticipate horizon issues
Skills/Competencies:
Proven ability to interact credibly with senior stakeholders in other control functions such as finance, audit, legal and compliance, as well as senior leaders across the firm
Strong analytical skills with the ability to identify and communicate root causes and trends
Strong project and time management skills with the ability to successfully handle competing priorities
Exceptional written and verbal communication skills with the ability to communicate clearly and concisely to audiences of varying levels of seniority
Strong interpersonal skills with the ability to build relationships and exert influence without direct authority
Proven attention to detail
Proficient in Microsoft Office (Word, Excel, and PowerPoint)
Education:
Bachelor’s/University degree, Master’s degree preferred
This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.
Anticipated Posting Close Date:
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