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Job Background/Context

The Global Margin Lending (GML) business of GWM provides financing to the whole wealth spectrum of clients ranging from the affluent up to the High Net Worth segment against liquid listed securities. In addition, GML provides a "utility service" to Global Wealth providing a first line of defense (1st LoD) credit analysis and approval function for all counterparty risk across GWM. This includes Global Margin Lending, Markets Direct Access (a joint venture with Citi Markets and Global Capital Markets within GWM)

The Portfolio Solutions Team is responsible for three aspects of Global Margin Lending: Loanable Value Methodology and Implementation, Portfolio Stress Testing, and Portfolio Management. Portfolio Solutions works closely with our GML Lending teams to serve as a critical component of our First Line of Defense for Counterparty Credit Risk (CCR) management and will work with our Independent Risk partners to ensure best-in-class risk and controls, as well as client responsiveness. Key responsibilities of the team include:

• Define and implement CCR portfolio risk metrics and analytics for the whole CGW;
• Define and implement best in class stress testing and methodologies for the 1st LoD in CGW;
• Define and implement a loanable value (LV) methodology for CGW based on collateral concentration and liquidity by standardizing the methodology across both Citi Consumer Bank (CCB) and Citi Private Bank (CPB);
• Manage and sponsor CCR models for CGW and liaison with the relevant Risk teams for the Model Governance processes and procedures;
• The scope of responsibilities and scale of this team will evolve over time to continue to meet our needs.

Key responsibilities:

• Oversee completion of key deliverables and projects for CGW including the enhancements of the stress testing infrastructure and portfolio metrics;
• Act as global coordinator for CCR metrics and data systems' remediations for CGW clients to influence change throughout organization and work with business users to gather business requirements and draft and co-ordinate approval for Business Requirement Documents (BRD);
• Support the integration of the Consumer Bank CCR clients and exposures into CGW risk management processes;
• Support and drive multiple regulatory and control priorities including responding to Regulatory, Audit and FCR's findings remediation;
• Partner with the established CCR functions of Citigroup to align and streamline CCR risk management processes, risk measures, systems, data and reporting for CGW portfolio risks, including leveraging the enhancements coming out of the Transformation workstreams such as the Wholesale Credit Programme and Consent Order deliverables;
• Interpret the local and global strategy and support the execution of frameworks, programs, and technological solutions;
• Accuracy and completeness of Credit Data: ensure that data captured in our counterparty credit infrastructure are in-line with the approvals and conform best in class standards;
• Analyse the sources of counterparty risk in CGML portfolio, with particular focus on stress testing, collateral risk and volatility, concentration risks, liquidity and wrong way risk;
• Design of bespoke and ad-hoc ML portfolio risk reports and liaison with Risk Reporting for their automation in the production environment with associated controls;
• Prepare the materials for portfolio risk reviews with internal stakeholders ensuring high quality and timely information is provided to enable proactive risk management;
• From a portfolio management perspective, ability to set-up and follow-up on actions that reduce process issues and integrity of the risk management data;
• Respond to ad-hoc transaction requests in a timely manner, demonstrating a good understanding of trade-specific risks and risk measurements;
• Coordinates with our partners in ICM, Risk, Compliance, Legal, Operations and Technology as required;
• Reports directly to the APAC Head of Portfolio Solutions.

Work experience and competencies:

• At least 5 years of relevant professional experience performing similar tasks in a Credit or Counterparty Risk Management function or reporting role;
• Strong quantitative skills, particularly with respect to counterparty credit risk metrics and calculations;
• Working knowledge of securities financing transactions and derivative products;
• Excellent analytical background and skill set to understand complex processes, including system data flows;
• Data analysis and problem solving skills;
• Working knowledge of a programming language e.g. SAS, R, Python or SQL;
• Tableau knowledge is desirable;
• Strong communication skills;
• Excellent people skills: ability to interact successfully with regulators, business partners and technology teams;
• Good project management skills;
• Excellent proficiency in Microsoft Office - particularly Excel (metrics and data analysis), PowerPoint (presentation decks), and Word (writing and editing procedural and technical documentation).

Exceptional candidates who do not meet all these criteria may be considered for the role provided they have the necessary skills and experience.

Education:

• Post-graduate education in Economics, Finance, Financial Risk Management, Financial Engineering or other quantitative discipline preferred.

Job Family Group:
Private Client Product Services

Job Family:
IF Margin & Sec Backed Finance

Time Type:
Full time

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