Counterparty Credit Risk

6 days ago

Singapore Citi Full time

Counterparty Credit risk is one of the largest and most dynamic portfolios within Citi's Institutional Client Group. It spans all the capital markets products across all counterparties and is part of Financial Institutions and Counterparty Credit Risk (FICC) team in Wholesale Credit Risk in Citi.

**Reporting to**: Director, APAC Head of Counterparty Credit Risk (CCR) & Wholesale Credit Remediation Projects, FICC

**Job Purpose**:
Under the guidance from APAC Head of Counterparty Credit Risk, implement the strategy and governance framework for Counterparty Credit Risk (CCR) across Citi APAC. CCR governance includes the 2nd Line of Defense (2LOD) portfolio management, review and challenge in a variety of CCR related committees with the goal of bringing consistent thought process and actions to the CCR portfolios.

**Responsibilities**:

- Help design, implement and operate the broader counterparty credit risk governance and controls framework. Direct the execution strategy for counterparty/portfolio risk measures including Pre-Settlement Exposure (PSE) and Net Stress Exposure (NSE) across Institutional Client Group (ICG) Risk in partnership with Credit Officers, Technology, Risk Governance and including key stakeholders in 1st Line of defense (1LOD)
- Help implement risk appetite CCR frameworks, practices and policies across all market credit sensitive products, including derivatives and security financing transactions in Capital markets viz. Cash, Securities Lending, Equity, FX, and FICC derivatives; Equity and FX Prime Brokerage, Futures and OTC Clearing
- Develop and enhance new and existing governance and frameworks related to PSE, NSE, Portfolio Sensitivities, Wrong-Way Risk (WWR), Settlement risk etc.
- Be fluent on the quantum, trend, composition of CCR exposure and work in conjunction with risk and business partners to establish overall CCR and WWR risk tolerance limits across Citi APAC. Partner with a wide range of stakeholders including sales, risk, business management, tech and ops
- Work with risk & technology groups to develop consistent model usage strategy across various risk measurements (PSE and NSE, Credit Exposure Factors, Stress Losses, WWR, Risk Capital and others) and data strategy for consistent usage of data for risk monitoring.
- Actively monitor the CCR across business stripes, credit portfolios and legal vehicles with a focus on proactive problem recognition, stress testing and overall portfolio management
- Support Head of APAC CCR to oversee governance of the PSE, Stress Testing, Derivatives and Security Financing Councils, Product Committee and other related risk management councils. Prepare and present communications to senior management and governance forums on new initiatives
- Escalate concerns and issues to senior leadership, independent risk management and management committees
- Help in tracking and timely completion of corrective action plans while promoting self-identification of CCR issues. Help in the remediation of Corrective Action Plans associated with PSE, NSE and WWR calculations
- Support APAC CCR head in regulatory interactions on the CCR portfolio and help manage increasing demands of regulatory and management reporting, including ensuring timely input from key stakeholders and monitoring data quality
**Knowledge/Experience**:

- Good understanding of Counterparty Credit Risk including exposure measures based on VaR and Stress
- Strong knowledge across range of capital market products and quantitative/analytical experience
- Strong technical expertise of complex derivative structures and understanding of associated first order/second order risks
- Strong data analytical skills and ability to handle large data and highlight portfolio trends and concentrations
- Broad understanding of current market and regulatory environment as applicable to Counterparty Credit Risk
**Skills/Competencies**:

- Excellent organizational and communication skills (written and verbal)
- Superior analytical and quantitative skills and able to quickly distil transactions/business propositions to key risks
- Any programming skills including knowledge of python will be a plus
- Strong people and process management skills and the ability to work collaboratively across the organization
- Ability to lead meetings/calls, to listen to other points of view, provide appropriate challenge and to take decisions with a clear rationale
- Ability to work comfortably in a matrix environment and regularly communicates and ensures key messages are cascaded throughout the broader teams
- Demonstrates integrity and sound independent risk judgement and operates to the highest ethical standard
- Self-starter, motivated, aspirational

**Qualifications**:

- Educated to quantitative/finance degree standard or equivalent; master’s degree preferred

Citi is an equal opportunity and affirmative action employer
- **Job Family Group**:
Risk Management
- **Job Family**:
Credit & Portfolio Risk Management
- **Ti

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