Head of Counterparty Risk Exposure Validation

Team Overview

We are building up a new team, Counterparty Risk Exposure Validation (CREV), under existing Counterparty Risk Analytics (CRA) group, to raise our standards of counterparty risk exposure calculation and control. Major responsibility of the CREV team is to play the “checker” role for the “maker” team, the Counterparty Risk Valuation and Advisory (CRVA), which also sits under CRA. The CRVA team provides live-trade analysis of counterparty risk exposure and they issue CEFs (credit exposure factors) to support sales/business and credit risk management. The CREV’s tasks will include at least the following two components: 1) quantitatively challenge and validate the CEFs issued by CRVA; 2) monitor CEF process in credit risk system.

Key Responsibilities:

• Managing a five-employee team in Tampa, FL. Providing training to junior employees whenever necessary
• Playing the “checker” role for the “maker” (the CRVA team): challenging the choices of CEF methodologies, checking the introduced assumptions, and verifying the calculation flows.
• Developing, implementing, and maintaining the standards and procedures for exposure calculation, validation, and monitoring. All validation and monitoring results should be clearly documented and communicated to relevant stakeholders
• Proactively communicating with regulators and internal control functions with regard to counterparty risk exposure calculation and process.
• Providing necessary approvals of exposure adjustments to credit risk management for proper risk reporting
• Providing suggestions to relevant model development teams (including Basel teams, CRVA, etc.) on counterparty exposure methodology enhancements and system flow improvement.

Qualifications:

• Advanced degree (Ph.D preferred) in a quantitative field (e.g. Math, Physics, Statistics, Finance, or Engineering) with at least 5 years of working experience in a quantitative role
• Excellent project management skills with team management experiences. Demonstrate integrity and sound decision-making ability
• Self-motivated and passionate in managing an end-to-end exposure calculation and validation process. Proved experiences in developing and implementing standards and procedures for a control process
• Excellent communication and interpersonal skills to facilitate collaboration with colleagues at all levels across Citi
• Strong general-purpose programming skills. Python working experience is a plus. Expert knowledge of Microsoft Access, Excel, and PowerPoint is required

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Grade :All Job Level – All Job FunctionsAll Job Level – All Job Functions – US

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Time Type :Full time

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