Head of Stress Testing for CGME, Director

Title: Head of Stress Testing for CGME

Business: Risk Management

Division: Banking and International Risk

Officer Title: Director

C-Grade: C15

Reporting to: Ulrich Bender, Chief Risk Officer CGME/Germany

Location: Frankfurt

Legal Entity: CGME

Posting until: 31/01/2025

Job Purpose/Overview:

The focus of the role will be to act as the main point of contact within the legal entity for quantitative risk models around ICAAP and regulatory stress testing including EBA Stress Test.

This will include the franchise’s management and governance of the models as well as their appropriate and accurate reflection in Pillar 2 assessments and regulatory submissions. As a consequence, the role will entail top-level exposure across all businesses operating within CGME.

Additionally, the role will require close collaboration with Citi’s other Eurozone legal entity in Dublin, close collaboration with related model development teams in Citigroup, as well as close interaction with Risk Management and Finance Department being the users of the ICAAP and Stress Testing models

As part of the implementation of Citi’s transformation of CGME into an EEA investment firm in Germany, this role was created to strengthen the Pillar 2 and stress testing model expertise in Germany.

Enterprise Risk Management (ERM) within Independent Risk Management is responsible for overseeing the implementation of Citi’s Enterprise Risk Management Framework and for specific enterprise-level risk management programs and processes that span the organization, the lines of defense and various risk categories. These include risk identification, enterprise risk analytics, risk appetite & limits, new activity risk management, risk frameworks & policy, strategic risk, digital assets risk and climate risk. The group is headed by the Head of ERM who reports directly to the Citigroup Chief Risk Officer (CRO). As part of ERM, Enterprise Risk Analytics & Stress Testing is responsible for Enterprise Stress Testing with Legal Entity Oversight (LEO), Material Legal Entity (MLE) Stress Testing and ICAAP execution and oversight, Firmwide Scenario Design and Expansion which cover Enterprise programs and all Legal Entities.

The Material Legal Entity Stress Testing & ICAAP Execution and Oversight team is responsible for ICAAP and regulatory stress testing execution for and oversight for Citi’s most material European Legal Entities (CGML/CEP/CGME).

Key Responsibilities:

• Responsible for the modelling aspects of stress testing and economic capital requirements for ICAAP including scenario design, also including EBA Stress Test

• Responsible for model risk compliance for all stress testing and ICAAP model uses, requiring close collaboration with model development teams in different locations to ensure models are fit for purpose for legal entity use

• Provide analytical support to other functions and processes within legal entity, such as risk management and finance

• Lead interactions with regulator regarding stress testing and ICAAP modelling requirements

• Oversight of key stress testing and ICAAP change initiatives for CGME

• Appropriately assess risk when decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to policy, applying sound ethical judgment regarding personal behaviour, conduct and business practices, and escalating, managing and reporting control issues with transparency

• Understand the significant conduct risks specific to their product or function and individual role at CGME and comply with the roles and responsibilities defined by Citi’s policies and subordinate policy documents on conduct risk management

Development Value:

• Becoming subject matter expert for all ICAAP and Stress Testing models applied in CGME

• Leading the governance process around those models

• Develop strong network with senior management, as well as with global stakeholders

• Being main contact for regulator on related model topics

PERSON SPECIFICATION

Experience, skills and capabilities:

• Experience interacting with regulators on model-related topics

• Up-to-date working knowledge of regulatory requirements and change, specifically those from Basel and European regulatory authorities

• Experience in ICAAP models for market and counterparty credit risk

• Knowledge on EBA Stress testing and related modelling requirements

• Highly motivated, with ability to work both independently and collaboratively

• Logical and thoughtful approach to work, with ability to perform well under pressure to meet tight deadlines

• Giving careful attention to detail, whilst also considering bigger picture and wider implications

• Capable of delivering high quality results, with challenging but positive influencing style

• Keen ability to develop an agenda and influence others to drive its implementation are critical success factors

• Strong analytical skills & proven ability to solve problems independently

• Strong project management skills, with ability to build relationships confidently at all levels

• Exceptional writing skills, with ability to synthesize complex technical information

• Track record of success in delivering high quality work in a fast paced and dynamic environment

• Post-graduate Degree in Economics, Finance, or another quantitative field (Mathematics, Statistics, Physics, Computer Science, etc.)

• 10+ years of experience in financial services sector, in roles requiring superior problem-solving analytical capabilities; must include experience across multiple risk stripes in financial model development or validation

• Line-management experience required