CEP Stress Testing Manager - IRRBB

Citibank - More jobs by this advertiser
CEP Stress Testing Manager - IRRBB-18077616

About Citi

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.


Department Overview

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.


Team/Position Overview

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, stress testing and economic capital.

Working with the Head of Risk Analytics, the CEP Stress Testing Manager for IRRBB will be the key point of contact within the team in relation to the ongoing development and implementation of methodology, and resulting stress testing of Net Interest Margin, and Economic Value of Equity. The role will involve coordinating IRRBB Stress Testing across the ICAAP and regulatory stress tests, working closely with the CEP Head of Market and Liquidity Risk and team.


Key Responsibilities

  • Lead the work to adapt Citi’s global IRRBB capabilities to the European requirement for stress testing, ensuring the model is fit for purpose. In support of the CEP Head of Market and Liquidity Risk, embed the model is appropriately in Risk, Finance and Treasury.
  • Point of contact for all IRRBB stress testing related matters on behalf of the CEP Head of Risk Analytics.
  • Work with the existing risk modelling teams globally to enhance reporting to ensure the existing IRRBB models, both stress testing and economic capital, are fit for purpose for the legal entity and consider the lens of European Regulation as applicable.
  • Support the CEP Head of Risk Analytics Testing in ensuring CEP’s stress testing programme is in line with best practice and compliant with all applicable regulatory standards.
  • Provide analytical support to risk specialists in developing stress testing, including further integration of stress testing in Risk Appetite and decision making.
  • Support the CEP Head of Risk Analytics in evaluating Legal Vehicle Stress Testing risk controls and frameworks.


Experience and Skills

  • Extensive years relevant market risk experience in an international banking organisation with a diverse product set. Knowledge of IRRBB and liquidity risk would be advantageous.
  • Experience of prior EBA stress testing exercises, including assessment of requirements, management of resources to complete relevant templates and engagement with regulators to assess outcomes.
  • Experience in IRRBB matters including relevant metrics, modelling techniques and regulatory requirements, specifically risk Modelling experience in IRRBB.
  • Ability to readily partner with Trading, Business and Risk Management colleagues at an entity and a regional level.
  • Knowledge of EU regulation (Capital Requirements)
  • Strong interpersonal and communications skills (written / verbal) at all organisational levels
  • Ability to express complex or detailed issues simply so that others understand principles 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.
  • Self-motivated.
  • 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 in 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 it

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 values to decisions or actions and organisational success.
Citi is an Equal Opportunities Employer


13 May 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.

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