Model Governance Manager ICAAP, Vice President in Frankfurt am Main bei Citi

Title: Manager Model Governance

Business: Risk Management

Division: Finance Chief Risk Office

Officer Title: Vice President

C-Grade: C13

Reporting to: Gabriel Kuhn, Director, CGME Head of Risk Analytics

Location: Frankfurt

Legal Entity: CGME

Job Purpose/Overview:

Citigroup Global Market Europe (CGME) is Citi’s EEA investment firm in Germany, where the Independent Risk Management, led by the CGME Chief Risk Officer, acts as the second line of defence for the holistic management of risk across all business lines of CGME.

Within this, the Finance CRO (FinCRO) Model governance team, led by the CGME Head of Risk Analytics Governance, is responsible for the sound governance around the Pillar 1 and 2 internal models, including the implementation of regulatory requirements relevant to the risk models developed by the organization, and the regulatory interaction pertaining to these models.

The role of the team is to:

• Engage with internal stakeholders for the implementation of regulatory requirements pertaining to internal Pillar 1 models for market and counterparty credit risk.

• Engage with internal stakeholders for the implementation of regulatory and business requirements pertaining to internal risk models for ICAAP and Stress Testing (Pillar 2), in close partnership with the CGME team responsible for running and analysing the models and their outputs.

• For the entity CGME, act as the governance focal point for reviewing and ascertaining the ongoing performance of Citi’s Pillar 1 and Pillar 2 models applied in CGME.

• Scope, manage, coordinate, and collate material requested by regulators for regulatory exams, internal and external audits, by liaising with stakeholders internally for the generation and collation of replies.

The team also works closely with risk model developers, being part of the organization Data, Analytics, Reporting & Technology (DART) and has a mandate to provide analytics and analyses to Independent Risk Management and other partners across Citi. The team develops credit, market, and counterparty risk analytics to consistently measure risk, optimize capital, dimension risk appetite, and allocate these metrics to businesses and geographies; as well as supporting Basel, internal and external stress testing (including ICAAPs, EBA Stress Testing, and CCAR), and loan loss reserve processes.

Key Responsibilities:

• Arranging, coordinating and assisting with running of the meetings of governance forums for the review of model performance and/or related regulatory or audit questions, for CGME’s Pillar 2 ICAAP / Stress Testing models, by:

  • Developing and agreeing with stakeholders relevant Committee and/or Working Group agendas and the coordination of materials to be presented to the Committee

  • Reaching out and engaging with relevant stakeholders, as required

  • Recoding the relevant Committee and/or Working Group meetings by circulating, agreeing and finalising the relevant minutes

  • Creating and maintaining the relevant governance forum action log, track actions and provide status updates to management

• Support the implementation of relevant ECB/BaFin/Deutsche Bundesbank/EBA regulatory requirements as they pertain to internal risk models for ICAAP and Stress Testing by reflecting these in relevant internal procedures, policies and/or Committee Terms of References, as required, by:

  • Reviewing requirements and communicate key points to relevant stakeholders to get engagement and buy‑in

  • Generating and/or update relevant procedures, policies or Terms of Reference

  • Discuss with stakeholders and obtain required internal approvals

  • Working in close partnership with the CGME team responsible for running and analysing the Pillar 2 models and their outputs

• Coordination of Regulators’ Information Requests prior to regulatory visits and production of replies to their formal Feedback Letters, as required, by:

  • Communicating to internal stakeholders to obtain their engagement

  • Collation of replies and supporting material and review and agree with relevant stakeholder senior management

  • Agreement of follow-ups with the regulator during the regulatory visit and produce written record thereof

  • Draft formal reply to the regulator and review, agree draft with relevant management and obtain required sign-off

  • Working in close partnership with the CGME team responsible for running and analysing the Pillar 2 models and their outputs

• Familiarize with the other