Key Responsibilities:

• Engage with a wide range of Risk, Finance, Business, Operations and Audit stakeholders regarding the performance oversight of Pillar I IMM and IMA capital models and the implementation of requirements pertaining to those models.
• Lead model development, governance and organisational projects in relation to model enhancement and remediation as a result of ongoing regulatory interaction or evolving risk and business requirements e.g. in relation to CRR2/3, FRTB etc.
• Provide ongoing review and challenge of model performance and related communication to a senior audience in Risk, CEP and Citi as a whole.
• Coordinate ongoing reporting related to internal models through multifunctional co-ordination and interaction with stakeholders.
• Ensure compliance with the regulatory regime applicable to CEP and engage with regulators in ECB and Central Bank of Ireland in relation to internal model management.
• Co-ordinate and manage the running of governance fora and committees, including the review and analysis of qualitative and technical data and the escalation of related issues.
• Ensure adequate and appropriate ongoing performance assessments are performed on internal models, based on Citi infrastructure and tools, in line with local regulatory requirements, guidance, and expectations.
• Provision of ad-hoc model analyses to support local management.

Skills and Experience:

• Extensive experience in quantitative risk management with previous management experience, either as a team or project manager.
• Experience of Model Risk and Governance processes including model performance reviews, model development lifecycle, validation etc.
• In-depth experience and knowledge of variety of standard Market and/or Counterparty Credit Risk modelling approaches such as Value-at-Risk (VaR), Stressed VaR, IRC, Expected Positive Exposure etc., typically gained through working in a model development or validation function.
• Up-to-date working knowledge of Basel and EU regulatory requirements and guidelines as specified in CRR (1-3), ECB Guide to Internal Models etc.
• Strong communication skills and exceptionally good at stakeholder management at all levels with experience in interaction with regulators on model-related topics.
• Excellent organizational and project management skills.
• Strong analytical skills & proven ability to solve problems independently.
• Excellent interpersonal skills necessary to deal with colleagues at all levels across the firm.
• Track record of success in delivering high quality work in a fast paced and dynamic environment.
• Highly motivated, with ability to work both independently and collaboratively.
• Logical and thoughtful approach to work, with ability to perform well under pressure to meet tight deadlines.
• Giving careful attention to detail, with capability to deliver high quality results.
• Potential to build trusted relationships confidently at all levels.

Education:

• Excellent academic background, including advanced degree (e.g. PhD/Masters) in a quantitative discipline, such as mathematical sciences, physics, statistics, engineering, finance, economics etc.
• Professional qualification in quantitative risk or finance discipline is desirable.