Retail RWA Oversight – Assistant Vice President

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Job Overview

The Retail RWA (Risk Weighted Assets) team within U.S. Personal Banking Credit and Franchise Risk provides sponsorship for Citi’s global retail RWA models. This includes partnering with Model developers to review and challenge model revalidations by evaluating the adequacy and quality of the data used in the models, review results of estimated parameters and calculated ARWA, oversee implementation of model changes in production in partnership with Technology and Capital Controllers. The lead will also support Consent Order control enhancement for both Advanced and Standardized RWA. This Vice President position reports into the SVP Retail RWA Oversight. This is an analytical lead function, with the responsibilities to:

• Collaborate with model reviews and developers on assessment of data, segmentation, variable selection.

• Participate in the preparation of model documentation, ongoing performance assessments (supporting sponsor); execute MCA activities supporting sponsor.

• Work with stakeholders to manage identified data issues, system issues, modeling issues/ limitations and process issues, including root cause analyses, preparation of options/simulations to resolve issues, participate in Business Requirements and UAT.

• Support RWA results review process, working with Finance, Capital Controllers, Data Teams, and Business stakeholders.

• Analyze observations, trends, attributions around Retail RWA, prepare and present quarterly IROC (Independent Risk Oversight Committee) and address follow ups.

• Prepare material needed of RWA impacts and manage documentation submissions into regulatory notification process.

• Participate in writing up any update as needed related to documentation of Advanced RWA processes including, but not limited to, data flows, systems, handshakes, control standards and framework.

• Citi is continuing to strengthen its RWA processes. This consumer risk leader will be participating in this firm-wide effort. This leader must possess technical and quantitative skills, demonstrate familiarity with Basel capital adequacy models, and know-how of the global systems and data. This individual will interface with cross-functional teams within Infrastructure and IT groups, Risk and Reporting, policy teams and businesses to design, test and deploy standards and conduct monitoring.

Qualifications:

• 7+ years of relevant experience

• Demonstrated experience in development and/or implementation of

○ Structuring and integration of broad and diverse data sources

○ Technology infrastructure and processes

○ RWA processes

○ Stress testing aggregation

○ Supporting Model related MRM requirements

• Understanding of Consumer Credit Profit & Loss Drivers preferred

• Excellent written and verbal communication skills, and be able to structure and write standards and manage governance documents, prepare presentations for executive level audience and familiarity with Power Point, Excel, Visual Basic

• Experience with Statistical Tools (Python, R, SAS, SQL, Model Builder, Xeno, Knowledge Studio)

• Detailed-oriented, high level of intellectual curiosity and strong sense of ownership.

Leadership Competencies:

• Senior executive interactions - can present credibly to both large and small groups

• Excellent interpersonal skills – ability to distill problem objectives into practical analyses to enable decision making

• Displays flexibility to work well with varying personal styles and acts as a trusted partner by delivering superior service that is meaningful

• Takes personal responsibility to lead by example. Understands and appreciates diverse backgrounds. Demonstrates strong ethics

• Develops strong relationships across risk management and cross-functionally; High degree of comfort working with onshore and offshore teams

• Capable of effectively managing cross-functional teams outside of direct control

• Contributes to a positive work environment; shares knowledge and supports diversity; remains calm and optimistic under pressure

• Works well in a culture that is agile and capable of quickly responding to changes in the environment; embraces change and challenges status quo

Education:

• Bachelor's degree/University degree or equivalent experience