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.
The candidate will have the unique opportunity to work in the fast-paced environment of a growing team, contributing significantly to capital adequacy and stress testing initiatives that are critical to Citi’s regulatory compliance and risk management framework.
The Stress Testing Officer will have a direct reporting line to the APAC Head of Stress Testing. Key responsibilities are as follows.
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 Quantitative Risk and Stress Testing (QRS), Risk Reporting, and Model Risk Management (MRM) teams
Participate in key ICAAP, IFRS 9, and other stress testing-related committees, forums, and reviews
Engage with Internal Audit (IA); track applicable regulatory matters, audit findings, corrective actions and milestones including collection, review, and retention of evidence
Engage with global IFRS 9 and CECL teams to ensure that APAC-specific nuances are captured in central models and processes, advocate for inclusion on behalf of countries and legal entities
Work closely with Finance to develop a framework for a regional approach to support legal entity ICAAP submissions, aligning the contributions made by respective country teams
Stress Test Framework Development and Execution
Execute a framework to support legal entity regulatory and ad hoc stress testing execution and submissions in the region
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
Support assessment of 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
Support country and legal entity Risk Management teams in production and application of overlays to central models, as appropriate
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
Support 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
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
Support development of materials for regular updates on stress testing and model risk to the APAC Risk Management Committee and other applicable country, regional, and global forums
Support management of regulatory-related activities such as examinations, periodic meetings and ad-hoc updates with global scope.
Support regulatory compliance of model risk practices through tracking of open issues and action items
Experience and Qualifications
5 to 8 years Risk experience in a global organization with significant experience in stress testing
Familiarity with Internal Capital Adequacy Assessment Process (ICAAP), IFRS 9, and CECL
Experience with development of macroeconomic / market stress scenarios (e.g., credit or currency crises), relevant regulatory guidance, and model risk management
Experience in producing reports and presentations for senior audiences
Knowledge of applicable Citi frameworks, policies, and standards
Ability to effectively partner with key constituents and stakeholders
Ability to distill technical concepts and results into intuitive, impactful, and easily digested messages
Demonstrates strong ethics and integrity
Ability to effectively voice and defend independent views and handle conflict
Strong interpersonal and communication skills for interaction with senior management
Ability to navigate organizational complexity and build partnerships across functional and business peers
Makes decisions using well-reasoned judgment under pressure and in a timely manner; identifies and assesses alternatives as part of the decision-making process
Ability to adapt and perform well under pressure and through rapidly developing situations
Job Family Group : Risk Management
Job Family :
Risk Analytics, Modeling, and Validation
Time Type :