Manager Quantitative Risk & Stress Testing Model Governance

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Manager Quantitative Risk & Stress Testing Model Governance-18072184

About Citi

Citi has had a presence in Ireland since 1965 and was one of the first foreign banks to open an office here. As the No.1 Corporate and Investment bank in Ireland, Citi led all of the major financing for aviation leasing clients in 2016 in Ireland, which is a global aviation leasing hub. Citibank Europe has been Head Quartered in Dublin since January 2016 and is Citi’s single EU-passported bank, with operations in 21 countries across the EMEA region and is regulated by the European Central Bank with a long-term rating “A” by all three primary Rating Agencies. The businesses covered by Citibank Europe include Markets and Securities Services, Corporate Banking, Trade and Treasury Solutions, Private Banking and Consumer. As of 2016, Citibank Europe has a net income of US$852 million, over 9,000 employees and more than 60% of these working in the Citi Service Centres.

Department Overview

Quantitative Risk and Stress Testing (QRS) develops risk analytics for use by Risk, Finance and Product and Client Coverage teams globally at Citi. Model Governance is an integral part of QRS and works with model development and other Citi internal stakeholders to scope, manage and deliver on regulatory interaction pertaining to the models developed in QRS and the implementation of regulatory requirements relevant to these models.



Team/Position Overview

QRS Model Governance is responsible for the implementation of regulatory requirements relevant to the models developed by QRS, the regulatory interaction pertaining to these models and the associated governance.  Its role is to
• engage with internal stakeholders for the implementation of Regulatory requirements pertaining to internal risk models; 
• scope, manage, coordinate and collate material requested by Regulators for regulatory exams and visits by liaising with stakeholders internally for the generation and collation of replies to Regulatory questions.

Key Responsibilities:

• Support the coordination and organisation of regular reporting, related to internal models, to the regulator, as required, through:
• Multifunctional co-ordination/interaction with stakeholders for the collation of material.
• Review reports with relevant Senior Management, obtain sign-off and submit to the relevant regulatory authorities.

• Organise, manage and coordinate the notification of model changes and extensions, under IMM and IMA, to the Regulator by:
• Communicating with internal stakeholders to obtain necessary documentation and impact analyses to support model changes.
• Organising, assist with scoping and co-ordinating required self-assessments.
• Complete, agree and submit model change pro-formas and/or other documentation as required by the relevant regulator.

• Co-ordination of Regulators’ Information Requests prior to regulatory visits and production of replies to their formal Feedback Letters, as required, by:
• Communicating to internal stakeholders to obtain their engagement
• Collation of replies and supporting material and review and agree with relevant stakeholder senior management
• Agreement of follow-ups with the regulator during the regulatory visit and produce written record thereof
• Draft formal reply to the regulator and review, agree draft with relevant management and obtain required sign-off

• Support the implementation of relevant ECB/CBI/EBA regulatory requirements as they pertain to internal risk models by reflecting these in relevant internal procedures, policies and/or Committee Terms of References, as required, by:
• Reviewing requirements and communicate key points to relevant stakeholders to get engagement and buy in,
• Generating and/or update relevant procedures, policies or Terms of Reference,
• Discuss with stakeholders and obtain required internal approvals.

• Arranging, co-ordinating and assisting with running of the meetings of governance forums for the review of model performance and related regulatory questions, by:
• Developing and agreeing with stakeholders relevant Committee and/or Working Group agendas and the co-ordination of materials to be presented to the Committee,
• Reaching out and engaging with relevant stakeholders, as required,
• Recoding the relevant Committee and/or Working Group meetings by circulating, agreeing and finalising the relevant minutes,
• Creating and maintaining the relevant governance forum action log, track actions and provide status updates to management.



Experience and Skills


Experience in:


• Regulatory interaction through roles in Market risk and/or Counterparty Credit Risk management or regulatory capital policy and reporting.
• Relevant working experience in wholesale banking and exposure to standard market products and models; a good appreciation of basic principles associated with risk models like VaR, SVaR, IRC etc. and measures like EPE, EAD etc., would be key.
• Up-to-date working knowledge of regulatory landscape and requirements and change, specifically those from Basel and European regulatory authorities.
• Governance type of work including Committee and Working Group meetings of experts to review model performance related questions, ensuring key regulatory issues are also discussed as they relate to internal models.
• Relevant working experience in a bank, consultancy or advisory firm would be considered.





• Strong communication skills and exceptionally good at stakeholder management at all levels.
• Flexibility to work with colleagues and stakeholders in an international team operating across different regions and time zones.
• Excellent organizational and project management skills.
• Strong analytical skills and 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.





• Extensive years of working experience in banking or consultancy or advisory firm,
• Excellent academic background; advanced degree in economics or finance or related discipline would be desirable.


What we Offer

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.

Valuing Diversity:


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



15 February 2019
Location: Ireland Dublin
Work type:
Full time
Banking and Financial Services
PLEASE! No enquiries from Recruitment Agencies or Headhunters.

Only direct applications will be considered.

This career opportunity is no longer open.
Please search for current vacancies here.

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