APAC Stress Testing Manager (SVP) - APAC CRO Office APAC Stress Testing Manager (SVP) - APAC CRO  …

in Hong Kong
Permanent, Full time
Be the first to apply
in Hong Kong
Permanent, Full time
Be the first to apply
APAC Stress Testing Manager (SVP) - APAC CRO Office
Job Background

The APAC Chief Risk Officer (APAC CRO) is responsible for managing Citi's risk from a regional dimension with oversight of all the risks in Asia across Consumer, Commercial, ICG, and the Private Bank. The APAC CRO provides prudential supervision and strategic direction for the entire Independent Risk Management organization in Asia to ensure active identification and management of emerging and existing risks. The APAC CRO also has primary interface responsibilities with the various regulators across Asia and is a key partner to the APAC CEO.

The Office of the APAC CRO carries out the mandate of the APAC CRO, acts as the primary risk contact for regional business and function heads, and coordinates across local legal entity specific governance constructs in the region including engagement at the country and legal entity levels. In partnership with businesses and other functions, the Office of the Asia CRO oversees Citi's adherence to US and local regulatory requirements as well as other internal and external policies in Asia.

The Stress Testing team within the APAC CRO Office is responsible for the technical oversight and execution of quantitative analysis underpinning the Internal Capital Adequacy Assessment Process (ICAAP), IFRS 9, CECL, and other stress testing exercises in the region. The team's mandate includes the assessment of key inputs/outputs and limitations of Group-level risk models to ensure they are fit-for-purpose at the legal entity level. The team is also responsible for supporting new model development for regional solutions and for coordinating and carrying out ad hoc, event-driven stress tests.

The candidate will have the unique opportunity to work in the fast-paced environment of a growing team, contributing significantly to capital adequacy and stress testing initiatives that are critical to Citi's regulatory compliance and risk management framework.

Key Responsibilities

The Stress Testing Manager will have a direct reporting line to the APAC Head of Stress Testing.Key responsibilities are as follows.

Stakeholder Management

  • Support stakeholder engagement workflow processes and protocols
  • Understand routine and ad hoc country and legal entity stress testing requirements
  • Support the building and delivery of in-region analytical support for scenario design, stress loss, and economic capital where needed, in collaboration with global Quantitative Risk and Stress Testing (QRS), Risk Reporting, and Model Risk Management (MRM) teams
  • Serve as the APAC CRO Office's liaison to key ICAAP, IFRS 9, and other stress testing-related committee, regulatory, and audit stakeholders
  • Engage with Internal Audit (IA) and external audit teams; oversee tracking of applicable regulatory matters, external auditor and IA findings, corrective actions and milestones including collection, review, and retention of evidence
  • Engage with global IFRS 9 and CECL teams to ensure that APAC-specific nuances are captured in central models and processes, advocate for inclusion on behalf of countries and legal entities
  • Work closely with Finance to develop a framework for a regional approach to support legal entity ICAAP submissions, aligning the contributions made by respective country teams, while at the same time ensuring the independent challenge and coordination with the respective global teams

Stress Test Framework Development and Execution
  • Refine and execute a framework to support legal entity regulatory and ad hoc stress testing execution and submissions in the region
  • Develop infrastructure and processes to support country and legal entity Risk Management teams in model validation process for models, tools and EUCs used in the stress testing process
  • Participate in development and analysis of regional stress scenarios, assumptions and models to ensure they are appropriate for use at the country and/or legal entity levels and are correctly implemented in systems
  • Assess fundamental assumptions underlying global models; assess whether model overlays are appropriate given business and regulatory contexts, and are appropriately coded into the models
  • Execute root cause analysis behind significant variations in model outputs and recommend appropriate remediating actions
  • Oversee and provide subject matter expertise support to country and legal entity Risk Management teams in production and application of overlays to central models, as appropriate

Stress Testing Governance
  • Ensure that country and legal entity Risk Management teams adhere to good model and stress testing governance, including recalibration, performance monitoring, testing and validation
  • Execute stress testing and model risk management control activities in the region, including policy exception management, quality control, and production of model risk inventory information for regional and legal entity specific risk and control activities and other relevant forums
  • Develop, document, and implement analytical methodologies, tools, and processes and support the development of quantitative or judgment-based models or overlays and stress scenarios for ICAAP/stress testing and other risk management purposes
  • Develop materials for regular updates on stress testing and model risk to the APAC Risk Management Committee and other applicable country, regional, and global forums
  • Manage regulatory-related activities such as examinations, periodic meetings and ad-hoc updates with global scope. Support regulatory compliance of model risk practices through tracking of open issues and action items

Experience and Qualifications

  • 10-12 years Risk experience in a global organization with significant experience in stress testing
  • Familiarity with Internal Capital Adequacy Assessment Process (ICAAP), IFRS 9, and CECL
  • Experience with development of macroeconomic/market stress scenarios (e.g., credit or currency crises), relevant regulatory guidance, and model risk management
  • Experience in coaching junior team members
  • Experience in producing reports and presentations for senior audiences and stakeholders
  • Knowledge of applicable Citi frameworks, policies, and standards
  • Demonstrated ability to effectively partner with key constituents and stakeholders
  • Direct and indirect influence abilities
  • Ability to distill technical concepts and results into intuitive, impactful, and easily digested messages for senior management, auditors, and regulators


  • Demonstrates strong ethics and integrity
  • Ability to effectively voice and defend independent views and handle conflict
  • Excellent interpersonal and communication skills for interaction with senior management
  • Ability to effectively navigate organizational complexity, break silos and build partnerships across functional and business peers
  • Experienced in partnering with global peers to leverage and implement best practices
  • Makes decisions using well-reasoned judgment under pressure and in a timely manner; identifies and assesses alternatives as part of the decision-making process
  • Ability to adapt and perform well under pressure and through rapidly developing situations

Job Family Group:
Risk Management
Job Family:
Risk Analytics, Modeling, and Validation
Time Type:

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