Model Risk Governance – AVP Job at Citi – in Dublin, County Dublin
CEP Model Risk is part of the Enterprise Risk team, which is is responsible for the development and implementation of risk frameworks and policies, risk identification and assessment, oversight of formulation and adherence to Risk Appetite, oversight of model risk, risk regulatory advisory and new products.
The Model Risk Governance – AVP position will support CEP Head of Model Risk in the end-to-end management of model risk in the legal entity, in line with Group-wide policies and local frameworks, procedures and regulations. This will involve working with Group MRM and a broad range of stakeholders in CEP and Citi.
This role offers fantastic exposure to all business lines and functions using models in CEP, as well as opportunities to collaborate with a large range of stakeholders in Citigroup. This position would suit a candidate with the right technical skills, appetite for quantitative disciplines, but looking to gain broader experience in Risk management and governance.
Maintain a model inventory for CEP as a part of the global Model Risk Management Inventory.
Maintain relevant Key Risk Indicators in relation to model risk appetite and prepare reports on those to the Board periodically.
Analyze CEP model risk profile, escalating and documenting exceptions, where they are identified.
Assist in the oversight of model risk across the model lifecycle (such as model validation, ongoing performance evaluation and annual model reviews).
Analyze model validation reports received from the Group and assisting in providing effective review and challenge to Citi globally approved models in terms of their use in CEP, taking account of local regulations, business mix, portfolio type or size.
Support the preparation of working groups/committees covering model risk issues.
Assisting in the tracking of remediation plans for matters that are either self-identified or raised by internal / external audit and regulatory exams.
Maintain CEP model governance documents (framework or procedures).
Present to key CEP governance for a such as Model Control Committees, Risk Management Committee etc.
Skills and Experience:
Experience in a role with exposure to models is essential to be considered for this role (e.g. model development, validation, model risk governance, audit or quality assurance on model).
Good understanding of regulations (in particular those related to internal models for capital requirements).
Good knowledge and understanding of a variety of model development and validation testing techniques across a breadth of different model types (e.g. pricing, risk, capital, credit etc.).
Ability to handle, interpret and analyze large volumes of data and, at times, complex information.
Very good knowledge of MS Office package especially MS Excel (VBA would be an advantage).
Ability to interpret and analyze technical documentation on models.
Ability to prepare informative reporting packages for management.
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.
Self-motivated with strong planning and execution skills.
Practical knowledge of market and counterparty credit risk models (IMA and IMM models) is not necessary but would be a distinctive advantage.
Quantitative educational background: advanced degree in a quantitative discipline, such as economics/econometrics, finance, statistics/mathematics, sciences or engineering.
Job Family Group:
Risk Analytics, Modeling, and Validation
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Company: Citi –
Company Location: Dublin, County Dublin