SVP, Regulatory Risk (Hybrid)

The Finance CRO Group provides independent, objective, reliable, valued and timely assurance to the Board of Directors, the Committees, the Citigroup Chief Risk Officer, the Citigroup Chief Credit Officer, senior management and regulators on the effectiveness of credit, capital and collateral risk management and the ability of the Business and independent Risk Management to identify, monitor and mitigate current and emerging risks.

The Confirmation of Basel Classification Review & Analysis (COBRA) team provides an independent review and challenge of risk and operational processes and procedures and accuracy and timeliness of risk parameters used to determine regulatory capital treatment for various exposures.

The SVP, Lead Market Risk Basel Reviewer manages independent review and challenge of regulatory capital treatment of exposures across Citi’s Markets businesses. The role requires a thorough understanding of fundamental credit and credit risk concepts and/or associated regulatory capital requirements, including Standardized and Advanced Risk Weighted Assets (RWA) requirements under US Basel Rules. The role also requires working knowledge of upcoming key Basel regulations, e.g. Basel 3 endgame and FRTB. Familiarity with regulatory capital reporting is also preferred.

Responsibilities:

• Assist the Head of COBRA and Head of Markets Basel Review in executing the global Review coverage plan by leading COBRA Reviews

• Maintain effective communication with the Business, Finance and Independent Risk to ensure a clear understanding of the implementation of US Basel Rule requirements and associated governance processes

• Assess the application of US Basel Rules and calculation of RWA with an emphasis on the rules pertaining to markets transactions including counterparty credit risk, CVA and FRTB.

• Proactive communication to senior management of any concerns and/or emerging risks that may jeopardize the assigned COBRA Review Entities

• Assess counterparty credit risk and market risk for Securities Financing Transactions and Over-the-Counter transactions

• Evaluate whether the Business has deficiencies in their governance and oversight that allows for incorrect RWA calculations

• Provides critical challenge of appropriateness and sufficiency of regulatory capital top-side adjustments as proposed by Finance

• Evaluation of the appropriateness of Corrective Action Plans (CAP) resulting from COBRA Reviews

• Provide ongoing guidance as CAPs are implemented to help ensure a successful subsequent validation of the effectiveness of CAPs after implementation by the Business

• Accountability for the quality and consistency of work products that include Regulatory Capital Assessment Documents, COBRA Capital Review Plans, and Review Reports created for the assigned COBRA Review Entities

• Assist in training on various US Basel Rule topics

• Ad hoc projects

Knowledge/Experience:

• Significant experience with the US Basel Rules for Advanced, Standardized and Markets rules specifically as they pertain to RWA requirements and working knowledge of upcoming key Basel regulations, e.g. FRTB rule

• Demonstrable financial services experience including 10+ years of experience in market risk and/or counterparty credit risk resulting from markets transactions

• Experience in complex structures enabling an individual to deconstruct transactions and understand all the underlying risks

• Bank regulatory environment experience and close liaison with banking and other related industry regulators is advantageous

• Conversant in credit and markets policy matters

• Ability to analyze root causes and anticipate horizon issues

Skills/Competencies:

• Proven ability to interact credibly with senior stakeholders in other control functions such as finance, audit, legal and compliance, as well as senior leaders across the firm

• Strong analytical skills with the ability to identify and communicate root causes and trends

• Strong project and time management skills with the ability to successfully handle competing priorities

• Exceptional written and verbal communication skills with the ability to communicate clearly and concisely to audiences of varying levels of seniority

• Strong interpersonal skills with the ability to bu