Citigroup Hiring for Risk Modeler at Mumbai, India Full Time

Job Purpose:

The Risk Modeler will be part of a team supporting Citi’s risk transformation Initiative to address rapidly evolving regulatory requirements in various jurisdictions for implementing “Fundamental Review of the Trading Book (FRTB)”. The team will be responsible for actively participating in and supporting the development of computation framework covering FRTB Standardized Approach (SA), Internal Model Approach (IMA) and CVA components.

Job Background/context:

Risk Modelers in the Risk Organization Program Management Office are expected to have creative problem-solving skills, a track-record of working in a collaborative partnership with multiple stakeholders (Risk, Businesses and other functions like Finance, Technology etc.). Citi is looking for a seasoned Market Risk data modeler with strong understanding of BCBS, CRR2, CRR3 regulations and ability to apply it to define technical specifications and design needed for the technical development and implementations.

Key Responsibilities:

Provide best-in-class analytical and design expertise for the assigned Book of Work across Risk segments/stripes (across regions) in partnership with stakeholders across Risk, Finance, Technology, Businesses, and other functions.

• Lead FRTB-SA end-to-end analytics activities for providing in-depth technical input for the lengthy application process to obtain FRTB-SA regulatory permission.

• Provide cross-asset quantitative testing and validation of sensitivities and capital numbers as per FRTB-SA rules in various regulatory jurisdictions, including Quantitative Impact Studies (QIS), benchmark portfolio analysis and what-if analyses.

• Independently lead the regulatory application process end-to-end from risk analytics perspective including, technical documentation preparation, modelling, validation, and data analysis.

• Communicate with other teams in the firm and leveraging on their knowledge of the FRTB process to produce deliverables of the highest standard.

• Present the results to internal governance forums and to the senior management.

• Facilitate, coordinate, and conduct periodic working groups with cross-functional teams and partner with stakeholders to drive model design and development.

• Resolve complex problems, perform data analysis, and risk assessments, identify impacts/gaps and demonstrate good analytical skills in order to validate and prioritize activities.

• Appropriately assess risk when business decisions are made, applying sound ethical judgment regarding conduct and business practices, and escalating control issues with transparency

Development Value:

• Experience of working in a Leading global financial services organization

• Experience in working in Industry leading Enterprise-Wide Regulatory programs that enhance development of technical and analytical skills in addition to increased business knowledge

• Excellent professional development opportunities for internal and external professionals with an opportunity to interact and learn from workstream leads and SMEs.

Knowledge/Experience:

• 10+ years of relevant experience, within the Financial Services industry or Big Four consulting required, during which s/he has applied Risk Data modelling principles and methodologies to execute complex projects spanning geographies and organizations

• SME knowledge in Market Risk modelling disciplines in a global bank environment with focus FRTB, BCBS, CRR2, CRR3 etc.

• Understanding of banking regulations and risk management supervisory expectations for global financial institutions and a strong business understanding of the products and services Citi offers

• Understanding of the data (design, principles) and technology models and architecture

• Understanding of Agile methodology

Skills:

• Professional experience in the field of market risk modelling along with in-depth knowledge of FRTB: BCBS, CRR2, CRR3 etc. regulations. Ability to interpret and translate regulations into technical specification to serve as foundation for the testing, validation, and compliance.

• Excellent interpersonal and oral + written communication skills (including Presentations to senior managers) to comfortably interact effectively with senior internal clients, project managers and cross functional stakeholders at all levels as required.

• Good IT skills and experience in programming (for example: MATLAB ®, SQL, VBA, C/C++, Python, and other software) is required.

• Strong analytical and problem-solving skills, ability to quickly grasp new subject matter and apply an analytical mindset to think proactively and strategically, identify gaps and propose solutions

• Stakeholder Management – Well developed listening, influencing and collaboration skills and ability to engage senior managers, identify and influence decision makers, defuse conflict and work toward agreement

• Ability to quickly come up to speed on multiple topics concurrently (e.g., risk frameworks, processes that are being remediated / transformed) to be able to understand program objectives and to oversee / contribute effectively to their execution

• Well organized, self-motivated, and good attention to detail, ability to deliver on tight deadlines or unexpected requirement changes, take reasoned decisions under pressure and willingness to ask questions and challenge existing processes.

Qualifications:

• Bachelors Degree in Finance, Economics, Mathematics or other analytical discipline OR

• Chartered Accountant (CA) with strong relevant experience

• Certifications like Data Sciences, Financial Risk Manager (FRM) / Professional Risk Manager (PRM), preferred

• Additional certification in Agile, Prince 2 will be an added advantage.

Competencies

• Ability to work independently and manage multiple tasks, work under pressure, and adapt to sudden changes in the work environment.

• Action-oriented and organised, logical, analytical & rational

• Good problem-solving skills, Attention to details

• Stakeholder focused and exemplary stakeholder satisfaction

• Highly self-motivated and self-driven with limited oversight requirements.

System Requirements:

• Excellent knowledge of MATLAB®, SQL, VBA, C/C++, Python

• BI tools usage like QlikView, Tableau, Power BI

• Project Management tools like JIRA, Confluence, PTS

Job Family Group:

Risk Management

Job Family:

Risk Analytics, Modeling, and Validation

Time Type:

Full time

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