Citi Regulatory Risk Analyst in Warsaw, Poland
Primary Location: Poland,Mazowieckie,Warsaw
Education: Higher Degree
Job Function: Risk Management
Shift: Day Job
Employee Status: Regular
Travel Time: No
Job ID: 17041252
The optimization of Trading Book exposure through identification and improvement of data quality. Project management of data quality improvement initiatives across multiple businesses: IT, Risk, Operations, Front Office etc. specializing in OTC product review for regulatory purposes.
Job background/ context:
Risk Weighted Assets GPO Team is a group within Citi’s Finance Treasury organization.
The team plays a key role in Citi’s global risk management /reporting by conducting regular and ad hoc exposure analysis and reporting as well as supporting various internal Credit Risk Management and regulatory initiatives (Basel II/III/CRD IV etc.). The team’s focus is on understanding, controlling and improving the counterparty credit risk data, exposure calculation process and the underlying risk systems and reporting infrastructure, which are critical for regulatory reporting and capital calculation.
The role will focus on Basel III analysis for different legal vehicles within Citigroup, especially, but not limited to Citigroup Inc. legal entity, Citibank N.A. (CBNA), Citigroup Global Markets Ltd (CGML)
Analyze transaction structures and market data to identify root cause of calculation issues and propose possible options for resolution. Through sound project management follow through issues from initiation to successful completion
End-to-end project management of data quality improvement projects and other initiatives across risk related businesses
Identification of material changes in profiles, root cause analysis, communication to impacted parties and resolution of underlying issues
Analysis of Basel III / CRD IV data attributes and the related impact on EAD/RWA and CVA RWA calculations
Production of data quality metrics and information packs supporting EAD calculations, providing updates on progress to internal stake holders as well as external regulators
Contribute to other initiatives within the group if required (regulatory issues, country crisis reporting, improvement of the overall internal and regulatory (Basel III) exposure calculation process and development of tactical and strategic reporting tools, ad-hoc senior management reporting etc.)
Work closely with other groups in RWA GPO as well as other stakeholders (Regulatory Reporting, Risk Analytics, Technology and Risk Managers) to ensure the exposures are properly understood, controlled and communicated
Work closely with CCAR Lead in order to deliver CCAR process for EMEA and US entities
Daily/monthly analysis and reporting of counterparty credit risk exposure fluctuations in the trading book portfolio (OTC derivatives covering all asset classes - i.e. Equities, Rates, Credit, FX and Commodities)
The position provides an opportunity to get visibility to senior members of Finance Treasury, Finance and Risk Management, to work with Front Office, Operations, Risk Analytics, and Financial Control as well as Credit Risk and Business Management staff globally at all levels as well as develop expertise in Citi’s risk management systems. It offers a good platform to enhance knowledge of trading book products (over-the-counter and exchange traded derivatives) and exposure calculation mechanisms, management reporting and project management skills as well as develop strong understanding of regulatory and exposure management issues (Basel III/CRD IV, Capital/Exposure Management).
Preferably sound understanding of counterparty credit risk measures/issues associated with Trading Book/OTC derivatives i.e. Exposure At Default/Expected Positive Exposure, Mark-to-Market valuations, Netting/Margining applications, Credit Value Adjustments etc.
Preferred but not required exposure to regulatory environment (Basel III/CRD IV).
An understanding of the legal agreements supporting trading book products
Knowledge of the risks associated with trading book products
Strong data analysis and management reporting/presentation skills
MS Excel/Access (ideally also VBA and SQL but not essential)
Excellent stakeholder management skills. Ability to interact with remote business and technology partners as well as managing multiple priorities if needed
Organizational and project management skills
Strong verbal and written communication skills
Self-starter, proactive team player
Good client focus
Degree or post-graduate
Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.