We are looking for a model risk manager and validator for validating Market Risk and Counterparty Credit Risk models. The validator will be responsible for assessing the adequacy of regulatory capital and estimated losses for regulatory or business requirements.
Our rigorous validations including the technical assessment of adequacy of the modelling data and assumptions, conceptual soundness and mathematical formulation, and model performance, as well as the assessment of using the model for regulatory and business applications.
This role plays an essential part in building up the local model risk management expertise in Frankfurt we have to prove to the local regulator. This is necessary to ensure the models can be used to determine the legal entity’s regulatory capital requirements as well as related internal risk management measures. It also comprises to communicate and explain related capital impact internally to business and externally to regulators, as well as performing model analysis to support model validation, conduct ad-hoc data analysis to support regulatory inquiries and internal capital optimization for CGME. Job Background/Context:
Citi's goal is to ensure continuous and consistent service for our UK and EU clients, while retaining safety and soundness.
The role is in the Model Risk Management Group. Responsibilities of this position include performing validation tests, discussing findings with internal and external stakeholders, writing validation reports, and managing model risk.
While the role is part of the EMEA team the person will take responsibility for legal entity matters as required and requested.
• Manage model risk across the model lifecycle including model validation, ongoing performance evaluation and annual model reviews.
• Manage stakeholder interaction with model developers and business owners during the model lifecycle.
• Represent the bank in interactions with regulatory agencies, as required.
• Present model validation findings to senior management and supervisory authorities.
• Provide effective challenge to model assumptions, mathematical formulation, and implementation
• Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
• Contribute to strategic, cross-functional initiatives within the model risk organisation.
• Interaction with stakeholders within the firm and with regulatory agencies
• Learning and growth opportunities from both technical and leadership perspective
• Build up knowledge for all market risk and counterparty credit risk models and exposed to a variety of modelling approaches
• Gain extensive product knowledge of all asset classes
• Gain deep understand on a high level view of industry regulatory new requirements
• Risk management expertise
• Interaction with all businesses across Citi
• Global market knowledge
• Significant scope for improving processes and practices
• Build-up of in-depth knowledge for all counterparty credit risk models and all trading book products will provide significant business and personal development opportunities
• Minimum of Master’s degree in a quantitative field (physics, mathematics, statistics, finance, computer science, etc.) with 4+ years of relevant experience.
• Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second Master’s degree, or CFA.
• Strong interpersonal and analytical skills.
• Demonstrate integrity.
• Strong planning and execution skills.
• Team work and commitment a must
• Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation, ideally experience in modelling of Counterparty Credit Risk and Market Risk.
• Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models.
• Good knowledge of financial products, financial mathematics, pricing methodologies, numerical techniques, risk management, Basel/CCAR regulatory requirements.
• Sound knowledge of Calculus, Numerical Analysis, Statistics, and Linear Algebra.
• Strong communication skills in both verbal and written are required as the work involves frequent interaction with model developers, risk managers, other stakeholders as well as internal/external audit and regulators.
• Solid writing skills. Publications in peer-reviewed journals are considered as good evidence.
• Programming skills: C/C++, Python, Matlab, SAS, R, Java, Oracle and SQL.
• Fluent in written and spoken German and English.
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
|Location:||Germany Hedmark Frankfurt am Main|
Banking and Financial Services
PLEASE! No enquiries from Recruitment Agencies or Headhunters.
Only direct applications will be considered.