- New York, NY, USA
- Permanent, Full time
Managing Director - Global Head of CORA
Managing Director - Global Head of CORA
- Primary Location: United States,New York,New York
- Education: Master's Degree
- Job Function: Risk Management
- Schedule: Full-time
- Shift: Day Job
- Employee Status: Regular
- Travel Time: Yes, 25 % of the Time
- Job ID: 19014051
Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. 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. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.
Citi's Mission and Value Proposition explains what we do and Citi Leadership Standards explain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients' and the public's trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.
Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.
The Global Head of CORA will lead a Team of approximately 50 Risk Professionals located in New York and Tampa. The scope of work includes and is organized as follows:
• The Portfolio Analytics team is responsible for life cycle development of (1) the Foundational Risk models for loss likelihood and loss severity that support critical credit loss estimation for wholesale portfolios, and (2) credit loss estimation for Credit Reserves, including the Loan Loss Reserves, CECL and IFRS9 Accounting Standards.
• The Credit Risk Rating Analytics (CRRA) team is responsible for life cycle development of the Debt Rating Models (one-year probability of default models used in the risk rating process), Hybrid Probability of Default (HPD) model, and Sovereign Foreign Currency Rating (SFCR) model. In addition, the team provides analytics around and approvals of Risk Rating Processes (RRP) for Classifiably Managed Portfolios, writes the annual Obligor Risk Rating Studies, reviews all Ratings Derived outside of an Approved Process (RDAPs) and Policy Exceptions and writes the related Quarterly/Annual Studies
• The Wholesale Stress Testing development team is responsible for development of the Wholesale Stress testing models that include CCAR, EBA stress testing, Internal Stress Testing (GSST), and stress testing for other international regulatory requirements (ex. ICAAPs) and related models.
• The Retail model development team is responsible for development of the Retail Basel, Risk Capital, Internal Stress Testing (GSST) and related models.
In addition to managing these Teams, the Global Head of CORA is relied on as a subject matter expert on Risk Rating Policy and Processes, Basel and other regulatory rules, and is often sought out as a thought partner on assigning ratings for complex transactions.
Clients include Business, Finance, Risk Managers, Fundamental Credit, Internal Audit, and others within Citi, as well as external auditors and regulators.
The Global Head of CORA will report to the head of Quantitative Risk and Stress Testing (QRS). QRS develops risk analytics for use by Risk, Finance and Product and Client Coverage teams on a global basis. The head of QRS reports to the Chief Risk Officer.
• Lead a team of approximately 50 QRS professionals primarily based in New York and Tampa
• Develop priorities for model development and related activities of the Team through engagement with partners in Risk and Product units
• Enhance the application of analytics within the Risk organization particularly in portfolio risk assessment and early warning systems
• Develop and implement industry leading standards for model development
• Engage with Model Risk Management leadership to ensure that QRS model development and documentation practices meet MRM guidelines
• Lead recruiting and training (including cross-training) initiatives in New York and Tampa.
• Master's degree or PhD in a quantitative field (physics, mathematics, computer science, etc.)
• At least 15 years of experience in analytics/quantitative research roles in a financial institution
• At least 5 years of experience in successfully leading an analytics teams. Experience in leading a remote based team is valuable but not essential
• Deep knowledge of wholesale credit risk and related regulatory rules
• Experience with Machine Learning/Artificial intelligence applications is desirable
• Rating agency experience a plus
• Track record of successfully hiring and mentoring talent