Fin Solutions Sr. Lead Analyst - C14 - MUMBAI
Citigroup · Mumbai
The role will be part of the RWA Controllers team and accountable for overall determination of Risk Weighted Assets (Standardized Approach to Counterparty Credit Risk (SA-CCR)) and Supplementary Leverage Exposure for Counterparty Credit Risk (CCR) exposures. This includes (i) performing the computational methodologies used to determine RWAs (SA-CCR), including any assumptions, interpretations and/or models used to make those determinations, (ii) ensuring the accurate implementation of those methodologies within Citi’s infrastructure, (iii) ensuring models are fit for Basel purpose, have been validated and accurately implemented, (iv) articulating Business and Functional requirements including performing end to end diagnostic assessment for remediation regulatory capital issues.
The role is in the RWA Controllers Derivatives team, which reports into the RWA Controllers Derivatives Exposure Type Lead for Production. The Spot RWA Derivatives team is responsible to ensure accuracy and integrity of RWA calculations and reporting of Standardized and Advanced RWA, and Supplementary Leverage Exposure (SLE). The lead role is of a regulatory capital expert in Derivatives, providing critical challenge and driving the diagnostics and remediation of a broad range of Derivatives regulatory capital calculations that encompass governance, data and non-data controls, processes, system implementation and regulatory reporting. This role provides extensive exposure to colleagues across risk, finance, technology, and line of business functions. Excellent interpersonal skills are required given the high level of interaction with senior managers, as well as the ability to work under pressure to meet tight deadlines. Technical skill is important to the candidate’s success, and so are strong project management and multi-tasking skills to plan and manage deliverables towards a number of objectives.
The role will be responsible for:
- Assisting in the end to end production, governance and controls of Derivatives Standardized and Advanced RWA, and SLE Actuals for weekly and month-end production
- Provide oversight to Shared Services Derivatives team supporting RWA operations and production
- Define, develop and establish attribution and other analytics that can effectively demonstrate standardized exposure, Jump-to-Default (JTD) and CVA RWA calculations for Derivatives are accurate and commensurate with Citi’s size and complexity. This analysis will include variance analysis period over period are explained (with attribution to exposure and risk factor changes) in a reliable and transparent manner
- Provide thought leadership and requirements for Derivative analytics using Artificial Intelligence and Machine Learning tools that enhances further transparency to the overall RWA calculations and reporting process
- Ensure RWA calculations and Reporting process, Governance and Controls Framework is well-defined, transparent and documented in a comprehensive manner
- Define, develop and establish robust control processes that can effectively demonstrate US Basel III regulatory capital requirements for Derivatives SA-CCR RWA are applied in an accurate and appropriate manner
- Ensure second line of defense Derivatives RWA reviews are performed consistently and feedback if any, and comments are addressed in a timely manner
- Manage and address Derivatives RWA reviews by other control functions such as Internal Audit, Independent Compliance Risk Management, Capital Planning Review Group etc. and feedback if any, are remediated in an appropriate and timely manner
- Identify potential process improvements and capabilities to increase consistency, transparency, and reliability of RWA calculation, governance and controls process.
- Drive the diagnostics and remediation activities of a broad range of regulatory capital calculations that encompass governance, data and non-data controls, processes, system implementation and regulatory reporting.
- Develop senior management-ready materials, particularly Derivative analytics presentations to Lines of Businesses, Senior Governance Group, Independent Risk Management, Finance and Regulators
- Drive change and influence risk and regulatory outcomes. Provide appropriately conservative solutions from a Regulatory Compliance perspective, in partnership with Business, Risk, and Finance teams
- Develop a strong working relationship with Finance, Front Office, Treasury, Technology, Audit, Independent risk and other counterparts across the organization
Qualifications:
- Bachelor’s Degree in Science, Technology, Engineering and Mathematics (STEM). Master’s Degree preferred.
- 7+ years’ experience in related field with relevant experience in SA-CCR
- Comprehensive understanding of US regulatory capital rules for counterparty credit risk both Basel III and SA-CCR rules with demonstrated ability to assess the application of those rules vs. regulatory expectations
- Full understanding of the lifecycle of Derivatives (bilateral and cleared transactions) notably IR and FX derivatives and involved in attribution of valuation movements using sensitivity based analysis
- Familiarity with a) Interest Rate; b) Equity; c) Credit d) FX and e) Commodity derivatives. Understanding of various structured products: CDO's, credit index products, correlation products, etc.
- Strong understanding of regulatory capital best practices and controls, and interdependencies between Trading Book and Banking Book exposures across different risk stripes
- Prior experience implementing Basel RWA rules in large financial institutions preferred
- Exceptional oral communication and writing skills, with ability to synthesize complex concepts, and translate into "user-friendly" language for multiple audiences, including senior management, multiple internal constituents and regulators
- Experience in managing risks holistically, covering areas such as systems, data, models, regulatory requirements, governance, and analytics.
- Ability to manage multiple priorities and tasks, work well as part of a team, and strong people and influencing skills
- Strong analytical skills, attention to detail, willingness to "roll up sleeves" and produce a polished, high quality, accurate product; tireless work ethic with ability to work well under pressure
- Solid Microsoft Excel skills and the ability to develop advanced knowledge of MS Excel and Access (or other database front-end query applications)
Education:
- Bachelors degree, potentially Masters degree
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Job Family Group:
Finance------------------------------------------------------
Job Family:
Fin Solutions Dsgn & Implement------------------------------------------------------
Time Type:
Full time------------------------------------------------------
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