Head of Risk Analytics, Citi

Citi

Location:

Germany, Frankfurt am Main

Category:

Finance

Contract Type:

Employment contract

Salary:

Not provided

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Job Description:

CGME Risk Analytics Governance (or Model Governance) is responsible for the implementation of regulatory requirements relevant to the models developed by the risk model development departments, the regulatory interaction pertaining to these models and the associated governance. The position involves managing a team responsible for governance oversight, regulatory compliance, and risk analytics for Citi's broker-dealer operations in Germany.

Job Responsibility:

Acting as the key contact for the competent authority on Pillar 1 model related topics
Support for regulatory capital model approvals and set-up of related risk management processes for Citi’s broker-dealer in Germany, including demonstration of appropriateness of models for the legal entity for both Pillar 1 and 2 models
Ensure compliance with regulatory regime applicable to Citi’s broker-dealer in Germany, responsible for governance process (model control committees) around IMA and IMM model permissions granted by German authorities in respect of market and counterparty credit risk regulatory capital requirements, as well as oversight of related outsourced processes
Additionally, responsible for the governance process (model control committee) for models use in CGME’s ICAAP
Involvement in analysis and interpretation of key regulatory requirements
Build-up of local expertise in independent risk models for market risk and counterparty credit risk
Lead and oversee CGME Risk Analytics Governance and Risk Analytics team in Frankfurt in line with Citi Leadership standards (for DART / Risk Analytics acting as matrix manager)
Oversight of regulatory/other models-related deliverables for Citi’s broker-dealer in Germany, including remediation of findings and weaknesses found in internal (e.g., validation and internal audit reports for the new legal entity) and external examinations (e.g. examination reports of the German regulatory authorities)
Ensure adequate and appropriate ongoing performance assessments (OPA) are performed on risk models used by CGME, based on Citi infrastructure and tools, in line with local regulatory requirements, guidance, and expectations
Participation in model governance/other committees, at country, regional, and global levels, as required
Provision of ad-hoc model analyses to support local management
Acting as CGME outsourcing manager for Risk model development and maintenance, in line with local regulatory requirements, guidance, and expectations
Maintain an up-to-date outsourcing agreement and performing required outsourcing monitoring activities

Requirements:

Management experience (either as a line or project manager)
Exposure to standard market products and models
Direct interaction with regulators on model-related topics
Up-to-date working knowledge of regulatory requirements and change, specifically those from Basel and European regulatory authorities
Market risk and/or counterparty credit risk (highly desirable) or other financial model development or validation
MaRisk implementation (desirable) or strong understanding of risk management principles
Strong communication skills and exceptionally good at stakeholder management at all levels
Excellent organizational and project management skills
Strong analytical skills & proven ability to solve problems independently
Excellent interpersonal skills necessary to deal with colleagues at all levels across the firm
Track record of success in delivering high quality work in a fast paced and dynamic environment
10 years of work experience with a minimum of 5 years in quantitative risk management
Excellent academic background, including advanced degree (e.g. PhD) in quantitative discipline, such as economics, finance, statistics/mathematics, sciences or engineering
Fluent in English and German, written and spoken
At least one programming language (desirable)
Integrity, maturity, dependability, a positive professional attitude
Ambitious and hard working
Willing to learn
Be a team player and get along well with different personality types
Positive and pro-active attitude
Ability to manage multiple demands

Nice to have:

Market risk and/or counterparty credit risk
MaRisk implementation
At least one programming language

What we offer:

Significant interaction with senior management and regulators
Develop in-depth understanding of Citi’s internal models and risk management practices for the trading book
Obtain understanding and insight into key regulations affecting Citi’s use of internal models for calculating regulatory capital requirements
Develop local and remote people management skills, negotiation skills and influencing skills
Significant scope for improving processes and practices
Breadth of role providing significant business and personal development opportunities

Additional Information:

Job Posted:

March 22, 2025

Employment Type:

Fulltime

Work Type:

On-site work

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Head of Risk Analytics