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Climate Risk/ Icaap/ Ifrs 9 Stress Testing Manager

2 weeks ago

Singapore Citi Full time

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), Climate Risk Stress Test, 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 centralized 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 Climate Risk/ ICAAP/ IFRS 9 Stress Testing Manager will have a direct reporting line to the APAC Head of Stress Testing. Key responsibilities are as follows.

**Stakeholder Management**
- Serve as the APAC CRO Office’s liaison to key ICAAP, IFRS 9, climate risk stress test and other stress testing-related committee, regulatory, and audit stakeholders
- Take the lead in stakeholder engagement workflow processes and protocols
- Well-versed in country and legal entity regulatory and internal stress testing requirements and able to provide guidance from a regional perspective and ensure alignment with Global
- Support the building and delivery of in-region analytical support for scenario design, stress loss, and economic capital where needed, in collaboration with country teams, Risk Data, Analytics, Reporting & Technology (DART), Global Climate Risk, Model Sponsors, and Model Risk Management (MRM) teams
- Engage with global teams to ensure that APAC-specific nuances are captured in central models and processes, advocate for inclusion on behalf of countries and legal entities relating to climate risk stress test, ICAAP, IFRS 9 exercises.
- Collaborate with Finance to develop a framework for a regional approach to support legal entity ICAAP submissions, aligning the contributions made by respective country teams
- Engage with Internal Audit (IA); track applicable regulatory matters, audit findings, corrective actions and milestones including collection, review, and retention of evidence

**Stress Test Framework Development and Execution**
- Refine and execute the framework to support legal entity regulatory and ad hoc stress testing execution and submissions in the region in line with Enterprise Stress Testing Policy
- Develop infrastructure and processes to support country and legal entity Risk Management teams in model validation process for models, tools and EUCs used in the stress testing process
- Participate in development and analysis of regional stress scenarios, assumptions and models to ensure they are appropriate for use at the country and/or legal entity levels and are correctly implemented in systems
- Assess fundamental assumptions underlying global models; assess whether model overlays are appropriate given business and regulatory contexts, and are appropriately coded into the models
- Execute root cause analysis behind significant variations in model outputs and recommend appropriate remediating actions

**Stress Testing Governance**
- Ensure that country and legal entity Risk Management teams adhere to good model and stress testing governance, including recalibration, performance monitoring, testing and validation
- Execute stress testing and model risk management control activities in the region, including policy exception management, quality control, and production of model risk inventory information for regional and legal entity specific risk and control activities and other relevant forums
- Develop, document and implement analytical methodologies, tools, and processes and support the development of quantitative or judgment-based models or overlays and stress scenarios for ICAAP/stress testing and other risk management purposes
- Develop materials for regular updates on stress testing and model risk to the APAC Ris