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.
Citibank Europe plc (CEP) is the main EU banking entity for Citi in EMEA with a presence in 22 European countries. It covers several key business lines including Markets and Securities Services, Treasury and Trade Services, Corporate and Investment Banking, and Consumer, with revenues of approx. $2bn and total assets of $50 billion which are expected to grow further. CEP has been designated a significant institution by the ECB and is therefore expected to meet enhanced regulatory expectations especially with regard to risk management.
CEP Independent Risk Management, headquartered in Dublin, acts as the second line of defense for the holistic management of risk across all business lines and locations of CEP.
We are looking for a model risk manager and validator for validating risk models across a variety of risks with specific responsibility to validate and model risk manage market risk and counterparty credit risk models. The successful candidate will be responsible for assessing the adequacy of risk capital and estimated losses for regulatory or business requirements.
• Manage model risk across the model lifecycle including model validation, ongoing performance evaluation and annual model reviews.
• Provide guidance to junior validators as and when necessary.
• Manage stakeholder interaction with model developers and business owners during the model lifecycle.
• Represent the bank in interactions with regulators, 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.
Experience and Skills
• Significant 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.
• Excellent knowledge of financial products, financial mathematics, pricing methodologies, numerical techniques, risk management, Basel/CCAR regulatory requirements and model development and validation techniques for risk models.
• Sound knowledge of Calculus, Numerical Analysis, Statistics, and Linear Algebra.
• Very strong interpersonal, influencing and analytical skills 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.
• Excellent computer skills including programming skills: C/C++, Python, Matlab, SAS, R, Java, Oracle and SQL.
• Minimum of Master degree in a quantitative field (physics, mathematics, statistics, finance, computer science, etc.).
What we offer
We offer the opportunity to join a growing bank with international reach and play a leading role in the validation of models used. This will give you the opportunity to interact with senior staff in business, risk and group functions as well as the regulators.
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