VP - RWA Forecasting Model Oversight Specialist

3 weeks ago

Mumbai, Maharashtra, India 12542 Citicorp Services India Private Limited Full time
Job Summary

This role is within the RWA Forecasting Model Oversight team, which is part of the broader Capital Forecasting and Analytics team. The Capital Forecasting and Analytics team is responsible for capital forecasting for Citigroup and CBNA, while supporting senior management decision-making to achieve the firm's capital targets.

Key Responsibilities
  1. Manage RWA forecasting models for quarterly stress-testing cycles (CCAR/DFAST) across all risk types as a sponsor, developer, or user, including but not limited to Model Risk Management (MRM) submissions, model documentation, update, overlays, etc., as per internal policies.
  2. Provide analysis and due diligence of macroeconomic variable forecasts and modeled output in quarterly stress-testing cycles.
  3. Maintain and manage inventory of assumptions, models, and deterministic tools used in RWA forecasting process.
  4. Perform business analysis to respond to regulatory and business questions and provide portfolio insights.
  5. Perform data analysis to monitor and track data quality and completeness of data.
  6. Provide in-depth review of existing models and methodologies to identify weaknesses and suggest resolutions and compensating controls.
  7. Assist enhancements in the RWA forecasting process design and system implementation.
  8. Assist in model automation activities for RWA forecasting by liaising with technology teams.
  9. Help in non-BAU activities like creating a benchmark RWA model, updating models for new regulations like BASEL IV, priority macroeconomic variable identification, etc.
  10. Assist project manager and work with business users to gather business requirements and draft and coordinate approval for Business Requirement Documents (BRD).
  11. Perform other duties and functions as assigned.
  12. Have the ability to operate with a limited level of direct supervision.
  13. Can exercise independence of judgment and autonomy.
  14. Act as SME to senior stakeholders and/or other team members.
  15. Appropriately assess risk when business 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 behavior, conduct, and business practices, and escalating, managing, and reporting control issues with transparency.
Qualifications
  1. 10+ years of relevant experience, within the financial services industry preferred.
  2. Knowledge of Basel regulatory guidelines and working experience and understanding of banking domain.
  3. Knowledge of life cycle of forecasting models (development, validation, maintenance).
  4. Ability to work with complex systems and data and good working knowledge of data analytics tools like Python, R, SQL, VBA, and advanced Excel.
  5. Should have Excellent proficiency in Microsoft Office – particularly Excel (metrics and data analysis), PowerPoint (presentation decks), and Word (writing and editing procedural and technical documentation).
  6. Ability to build and maintain relationships with the ability to work collaboratively and with people at all levels of the organization.
  7. Good knowledge of Citi products, risk processes, and controls with good understanding of regulatory requirements and risk management framework is preferable.
  8. Experience in compiling process and data quality metrics, analyzing results to clearly communicate data-driven analysis to senior management.
  9. Proficient ability to interpret business requirements for the purpose of liaising with Technology Developers.
  10. Requires communication and diplomacy skills in order to guide and influence others.
  11. Experience and demonstrated ability to manage competing priorities in a complex and dynamic environment.
  12. Self-motivated with the ability to make decisions in the absence of detailed instructions.
Education
  1. Bachelor's/University degree or equivalent experience.
  2. Preferably MBA or equivalent finance degree.
  3. Candidates with CFA, FRM, or PRMIA certifications will be preferred.

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