Counterparty Credit risk is one of the largest and most dynamic portfolios within Citi's Institutional Client Group. It spans all the capital markets products across all counterparties and is part of Financial Institutions and Counterparty Credit Risk (FICC) team in Wholesale Credit Risk.
Reporting to: Director, APAC Head of Counterparty Credit Risk (CCR) & Wholesale Credit Remediation Projects, FICC
Under the guidance from APAC Head of Counterparty Credit Risk, implement the strategy, governance and operating model for Counterparty Credit Risk (CCR) across Citi APAC. CCR function includes the 2nd Line of Defense (2LOD) portfolio management, leading the transformation program on counterparty risk governance and analytics and, providing review and challenge in a variety of CCR related forums/committees with the goal of bringing consistent thought process and actions to the CCR portfolios.
Help design, implement, and operate the broader counterparty credit risk governance and controls framework. Direct the execution strategy for counterparty/portfolio risk measures including Pre-Settlement Exposure (PSE) and Net Stress Exposure (NSE) across Institutional Client Group (ICG) Risk in partnership with Credit Officers, Technology, Risk Governance, and key stakeholders in 1st Line of defense (1LOD)
Help implement risk appetite CCR frameworks, practices, and policies across all market credit sensitive products, including derivatives and security financing transactions in Capital markets viz. Cash, Securities Lending, Equity, FX, and FICC derivatives, Equity and FX Prime Brokerage, Futures and OTC Clearing
Develop and enhance new and existing governance and frameworks and risk infrastructure related to PSE, NSE, Portfolio Sensitivities, Wrong-Way Risk (WWR), Settlement risk etc.
Be fluent on the quantum, trend, composition of CCR exposure and work in conjunction with risk and business partners to establish overall CCR and WWR risk tolerance limits across Citi APAC. Partner with a wide range of stakeholders including sales, risk, business management, tech, and operations
Work with risk & technology groups to develop consistent model usage strategy across various risk measurements (PSE and NSE, Credit Exposure Factors, Stress Losses, WWR, Risk Capital and others) and data strategy for consistent usage of data for risk monitoring
Actively monitor the CCR across business stripes, credit portfolios and legal vehicles with a focus on proactive problem recognition, stress testing and overall portfolio management
Partner with key members of ICG Risk, Risk Governance and Technology. Support Head of APAC CCR to oversee governance of various CCR committees on PSE, Stress Testing, Derivatives and Security Financing Transactions, Product committees and other related risk management forums. Prepare and present communications to senior management and governance forums on new initiatives.
Escalate concerns and issues to senior leadership, independent risk management and management committees.
Oversee tracking and timely completion of corrective action plans while promoting self-identification of CCR issues in APAC and the remediation of Corrective Action Plans associated with PSE, NSE and WWR calculations
Support APAC CCR head in regulatory interactions on the CCR portfolio. Manage increasing demands of regulatory and management reporting, including ensuring timely input from key stakeholders and monitoring data quality.
Candidates should have a minimum of 10+ years of financial institution or other intensive markets and/or quantitative risk experience
Strong understanding of Counterparty Credit Risk including exposure measures based on VaR and Stress
Strong knowledge across range of capital market products and quantitative/analytical experience
Strong technical expertise of complex derivative structures and understanding of associated first order/second order risks
Strong understanding of credit documentation (credit agreements e.g., ISDA, CSA, GMRA, GMSLA etc.) and collateral/margin mechanics
Broad understanding of current market and regulatory environment as applicable to Counterparty Credit Risk
The candidate should be proficient in legal and compliance matters and should be able to demonstrate strategic risk insight and sensitivity to macro and regulatory issues.
Excellent organizational and communication skills (written and verbal)
Superior analytical and quantitative skills and be able to quickly distil transactions/business propositions to key risks
Strong project and process management skills and the ability to work collaboratively with a wide group of cross-functional stakeholders across levels
Strong people skills with proven track record of building business relationships. Strong influencing and negotiating ability
Demonstrated leadership skills. Ability to lead meetings/calls, to listen to other points of view, provide appropriate challenge and to take decisions with a clear rationale
Breaks silos and builds partnerships across functions and regions; collaborates well with others. Regularly communicates and ensures key messages are cascaded throughout the broader teams
Demonstrates integrity and sound independent risk judgment and operates to the highest ethical standard, acts as a role model to others
Ability to work comfortably in a matrix environment
Self-starter, motivated, aspirational
Educated to quantitative/finance master's degree standard or equivalent
Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.
Job Family Group: Risk Management
Job Family: Credit & Portfolio Risk Management
Time Type: Full time
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