CEP Stress Testing Senior Manager - Market Risk
- Dublin, Leinster, Ireland
- Permanent, Full time
- 20 Apr 19
CEP Stress Testing Senior Manager - Market Risk
- Primary Location: Ireland,Leinster,Dublin
- Education: Bachelor's Degree
- Job Function: Risk Management
- Schedule: Full-time
- Shift: Day Job
- Employee Status: Regular
- Travel Time: No
- Job ID: 18077687
Citi, a leading global bank, has approximately 200 million customer accounts and a presence in more than 160 countries and jurisdictions worldwide. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Citi enables clients to achieve their strategic financial objectives by providing them with cutting-edge ideas, best-in-class products and solutions, and unparalleled access to capital and liquidity.
Citi Europe plc (CEP) is the main EU banking entity for Citi in EMEA. It has a presence in 22 countries in Europe, covering several key business lines including Markets and Securities Services, Treasury and Trade Services, Corporate and Investment Banking, and Consumer, with Revenue of approx. $2bn and total assets of $50 billion.
CEP Independent Risk Management, headquartered in Dublin, acts as the second line of defence for the holistic management of risk across all business lines and locations of CEP. Given the size and importance of CEP in the European Banking arena, CEP is considered a European "Significant Institution" by the European Central Bank and is directly supervised by the Single Supervisory Mechanism in Frankfurt.
CEP Risk Analytics sits within the CEP Independent Risk Management function with the Head of Risk Analytics reporting to the CRO. The Head of CEP Risk Analytics is responsible for legal vehicle regulatory capital models and stress testing.
The role will involve leading Market Risk stress testing including the ICAAP and regulatory stress testing and the person will be responsible for ensuring that the CEP market risk profile is adequately captured, stressed, and challenged by the applicable stress test.
- Co-ordinate the market risk work stream through; selection of the appropriate models for market risk measurement, ensure the model is fit for purpose, review and monitoring portfolio stability and explaining the output of the models. This will involve close co-operation with the market risk managers within CEP to understand portfolio risk drivers and dynamics.
- Develop the severe but plausible market risk stress scenario for the legal entity.
- Point of the contact within the in relation to all the market risk models and associated governance processes including model lifecycle.
- Work with the existing risk modelling teams globally to enhance reporting to ensure the existing market risk models, both stress testing and economic capital, are fit for purpose for the legal entity and consider the lens of European Regulation as applicable.
- Understand the drivers of the underlying market risk model and associated impact on VaR, Stressed VaR, RWA and Capital.
- Support the CEP Head of Risk Analytics in ensuring CEP's stress test programme is in line with best practice and compliant with all applicable regulatory standards.
- Provide analytical support to risk specialists in developing stress testing, further integration stress testing in risk appetite and decision making.
- Enhance the quarterly stress testing process to provide enhanced market risk measurement of the portfolio including inter and intra concentration risk, single name and industry concentration.
- Evaluate legal vehicle market risk stress testing risk controls and framework.
Experience and Skills:
- Extensive years of relevant market risk experience in an international banking organisation with a diverse product set. Previous experience in Stress Testing would be advantageous Stature and standing to impress the ALCO and Risk Committee of the bank and readily partner with Trading, Business and Risk Management colleagues at a regional level.
- Strong knowledge of EU regulation (Capital Requirements/FRTB).
- Strong interpersonal and communications skills (written / verbal) at all organizational levels.
- Expresses complex or detailed issues simply so that others understand principals of risk issues despite complexity of models or volume of information.
- Sufficient grasp of relevant detail, to escalate when appropriate and to question uncertainties.
- Strong tenacity and resilience.
- Post-graduate education in Finance, Financial Risk Management, or other quantitative discipline.
• Strong interpersonal and analytical skills.
• Demonstrate integrity.
• Ability to multitask, good time management skills.
• Excellent computer skills.
• Strong influencing skills.
• Strong planning and execution skills.
What we Offer:
Exciting opportunity to lead within a fast paced global banking environment. As the lead on the approach to Stress Testing in the entity there is great autonomy and scope to influence key decisions around the measurement of risk in the portfolio. The role will give the candidate exposure to engage with senior management in risk, finance and the business ensuring all three are brought together in their understanding of the portfolio dynamics.
As well as a competitive salary and consideration for a yearly discretionary bonus Citi offer;
- Competitive paid annual leave
- A non-contributory pension scheme with strong employer contributions
- Life assurance cover
- Citi fully covers medical insurance for all employees with generous day to day benefits as well as hospital cover
- Citi also supports a further education policy
- Wellness program - on site Occupational Health Centre plus a series of informative talks on topical health related subjects
- Tax Saver and Bike to Work Schemes
- Opportunity to work in a flexible environment where the business can support
At Citi, we pride ourselves on our ability to offer employees a number of lifestyle benefits including an on-site restaurant, coffee dock and shop, a subsidised gym and subsidised social clubs and societies.
Citi boasts a large diversity framework and network which encourages inclusion in the workforce as well as participation in a wide variety of initiatives and events. We also pride ourselves on our engagement with the local community from a Corporate Social Responsibility perspective.
Citi offers employees a competitive benefits package as well as extra additional perks such as corporate discounts and memberships.
Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.
Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organisational success.
Citi is an Equal Opportunities Employer