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Apac Stress Testing Manager
3 weeks ago
**Responsibilities**:
- Develops, enhances, and validates the methods of measuring and analyzing risk, for all risk types including market, credit and operational. Also, may develop, validate and strategize uses of scoring models and scoring model related policies.
- Manages model risk across the model life-cycle including model validation, ongoing performance evaluation and annual model reviews.
- Produces analytics and reporting used to manage risk for Citi's operations.
- Translates operational requests from the business into programming and data criteria and conduct systems and operational research in order to model expected results.
- Assists in the development of analytic engines for business product lines.
- Communicates results to diverse audiences.
- Conducts analysis and packages it into detailed technical documentation report for validation purposes sufficient to meet regulatory guidelines and exceed industry standards.
- Participates on teams to solve business problems.
- Identifies modeling opportunities that yield measurable business results.
- Provides guidance to junior validators as and when necessary.
- Manages stakeholder interaction with model developers and business owners during the model life-cycle.
- Represents the bank in interactions with regulatory agencies, as required.
- Presents model validation findings to senior management and supervisory authorities.
- Provides effective challenge to model assumptions, mathematical formulation, and implementation.
- Assesses and quantifies model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
- Contributes to strategic, cross-functional initiatives within the model risk organization.
**Qualifications**:
- 6-10 years experience
- Proficient in Microsoft Office with an emphasis on MS Excel
- Consistently demonstrates clear and concise written and verbal communication skills
- Self-motivated and detail oriented
- Demonstrated project management and organizational skills and capability to handle multiple projects at one time.
- Practical experience using SAS or similar statistical coding software to build and test prediction models. comfortable interfacing with business clients. proficiency handling very large data sets.
- Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation.
- Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models.
**Education**:
- Bachelor’s/University degree or equivalent experience, potentially Masters degree
**Job Background**
The APAC Chief Risk Officer (APAC CRO) is responsible for managing Citi’s risk from a regional dimension with oversight of all the risks in Asia across Consumer, Commercial, ICG, and the Private Bank. The APAC CRO provides prudential supervision and strategic direction for the entire Independent Risk Management organization in Asia to ensure active identification and management of emerging and existing risks. The APAC CRO also has primary interface responsibilities with the various regulators across Asia and is a key partner to the APAC CEO.
The Office of the APAC CRO carries out the mandate of the APAC CRO, acts as the primary risk contact for regional business and function heads, and coordinates across local legal entity specific governance constructs in the region including engagement at the country and legal entity levels. In partnership with businesses and other functions, the Office of the Asia CRO oversees Citi’s adherence to US and local regulatory requirements as well as other internal and external policies in Asia.
The Stress Testing team within the APAC CRO Office is responsible for the technical oversight and execution of quantitative analysis underpinning the Internal Capital Adequacy Assessment Process (ICAAP), IFRS 9, CECL, and other stress testing exercises in the region. The team’s mandate includes the assessment of key inputs/outputs and limitations of Group-level risk models to ensure they are fit-for-purpose at the legal entity level. The team is also responsible for supporting new model development for regional solutions and for coordinating and carrying out ad hoc, event-driven stress tests.
**Key Responsibilities**
The Stress Testing Officer will have a direct reporting line to the APAC Head of Stress Testing. Key responsibilities are as follows.
**Stakeholder Management**
- Support stakeholder engagement workflow processes and protocols
- Understand routine and ad hoc country and legal entity stress testing requirements
- Support the building and delivery of in-region analytical support for scenario design, stress loss, and economic capital where needed, in collaboration with global modelling, risk reporting, and model validation teams
- Participate in key ICAAP, IFRS 9, and other stress testing-related committees, forums, and reviews
- Enga
