Model Analytics Sr. Officer I - Risk Capital, SVP
Company: Citigroup Inc.
Posted on: June 9, 2021
Risk Capital is a firm-wide metric to measure economic capital
usage at the consolidated Citigroup and CBNA levels as well at the
detailed business unit level. It is reported to regulators and the
Board as a key capital adequacy metric for Citigroup and its major
legal entities (MLE). Risk Capital is also used extensively in
various risk areas to set risk limits and to assess the
risk-adjusted profitability of large transactions. Risk Appetite
Ratio (RAR) and Risk Appetite Surplus (RAS) are firm-wide metrics
to measure risk-adjusted earnings power at the consolidated
Citigroup and CBNA level as well at the detailed business unit
level. Risk Capital and RAR/RAS metrics are both important
quantitative measurements that form part of Citi's overall Risk
Appetite Framework (RAF). With the regulatory focus on Risk
Appetite Framework and Concentration Risk management, Risk Capital
based limits and RAR/RAS are expected to become a critical part of
Citi's internal risk management framework.
- Develop/enhance risk capital and stress testing models for
- Develop analytics to measure market risk, stress testing, Wrong
Way Risk, concentration risk and default correlations.
- Implement model analytics/libraries and develop associated
analytical tools, using C++, Python or VBA
- Assist testing efforts and support requirements from Model Risk
Management, participate in full model development, model
documentation, model validation and ongoing performance monitoring
- Lead and train junior team members.
- Masters and above degree in a quantitative discipline such as
mathematics, financial engineering, physics, statistics, computer
- 7+ years of experience in risk/pricing analytics, or
quantitativeprogramming roles in a financial institution
- Excellent experiences with model development in market risk or
- Experience with risk capital, stress testing and WWR is a
- Strong communicator, self-starter, and team player.
- Proficient in Python and VBA. Familiar with C++ or Java.
- Experience with model implementations and model library
Keywords: Citigroup Inc., Irving , Model Analytics Sr. Officer I - Risk Capital, SVP, Other , Irving, Texas
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