Global Risk Review (GRR) provides independent, objective, reliable, valued, and timely assurance to the Board of Directors and Committees of Citigroup and Citibank, NA, to the Citigroup Chief Risk Officer, the Citibank Chief Risk Officer, senior management, and regulators as to the effectiveness of credit, capital and collateral risk management and the ability of the Business and Independent Risk Management to identify, monitor, mitigate and control current and emerging risks. Within GRR, the GRR Analytics function enhances the efficiency and effectiveness of various review processes using analytics.

The Confirmation of Basel Classification Review and Analysis (COBRA) Risk Weighted Assets (RWA) Analytics team is responsible for developing a structured framework and strategy to complement COBRA activities through data gathering and analytical insights into Citi’s reported U.S. Basel RWA. COBRA provides an independent review and challenge of U.S. Basel RWA.

Position Objective:

The COBRA RWA Analytics Senior Officer provides meaningful analytical support for the COBRA team, through portfolio variance analysis and reporting using Wholesale RWA data as well as ancillary reports and systems to provide high level and drill down analysis of assigned Review Entities, portfolios or Review scopes.

The COBRA RWA Analytics Senior Officer partners with COBRA Lead Reviewers providing analytical support and data interpretation on RWA for various risk stripes, primarily for credit risk. The role requires a thorough understanding of credit and credit risk, associated regulatory capital requirements, including U.S. Basel Rules for Advanced and Standardized Approaches, and ability to work with large and complex data.

COBRA’s coverage includes, but is not limited to, horizontal reviews of Basel wholesale and retail horizontal exposure types, counterparties and risk parameters used to derive credit RWA. Effectiveness of such coverage requires a seasoned data analytics professional who is well versed in U.S. Basel Rules, credit and credit risk concepts, credit risk policies and procedures, and is able to manage data gathering and analysis that involves voluminous data attributes.

Key Responsibilities:

• Develop quarterly and ad hoc analytics for Banking Book RWA exposure type identifying trends and potential issues to support COBRA Reviews and quarterly Business Monitoring.
• Create an Early Warning Framework – reports to be used to highlight areas with potential issues with material Credit RWA impact
• Develop customized analytics for Risk Differentiated Reviews (RDR), which help reviewers in determining key focus areas for the detailed Review plan, sample selection and in detecting potential anomalies in adherence to U.S. Basel rules and Interpretations.
• Joint responsibility with COBRA Lead Reviewers to select sample for COBRA Reviews
• Initial Top side Adjustment (TSA) methodology reviews, TSA change reviews,
• Support COBRA Issue validation
• Provide timely and effective analysis of existing exposures and RWA to the COBRA Lead Reviewers, including “What if” analysis based on potential risk / regulatory issues
• Drill down to independently validate that all the required regulatory / risk parameters used for RWA calculations are accurate and appropriate; and also ensure that Exposure classification and RWA calculation is in line with the U.S. Basel Rules / Internal Policy.
• Use tools and techniques to effectively identify and assess trends and risks
• Analyze and interpret data to make conclusions or recommendations
• Communicate findings of analysis to COBRA Lead Reviewers and GRR senior management
• Mentor junior analysts
• Gather deliverables and/or prepare presentations to meet internal and Regulatory requests
• Support the GRR Chief Administrative Officer’s team and other non-review GRR functions in special projects

Knowledge / Experience:

• 10+ year’s work experience in banking, finance, credit risk, consulting, or comparable regulatory credit risk experience.
• Knowledge of U.S. regulatory capital rules (BASEL) applicable to credit risk with demonstrated ability to assess the application of those rules vs. regulatory expectations
• Experience in Basel RWA Reporting, RWA Forecasting, or credit risk regulatory reporting

Skills/Competencies:

• Experience with Advanced Business Intelligence Tool (Tableau, Cognos, etc...) preferred
• Extensive exposure to various data repository structures, data extraction methods, data manipulation and various analytical/statistical tools (SAS, SQL, Python, etc.) and ability to translate large data sets into succinct finding for executive consumption is highly desirable
• Excellent quantitative and analytic skills; ability to derive patterns, trends, and insights, and perform risk/reward trade-off analysis
• A natural curiosity to deep dive into data trends and variances
• Energetic, flexible, proactive, and responsive team player with the interest to learn, take initiative and work in a fast-paced environment
• Excellent time management and organizational skills
• Detail oriented with ability to work independently and prioritize workload
• Strong written and verbal communication skills - ability to express and communicate concisely and clearly with various levels of management
• Strong interpersonal skills

Qualifications:

• Advanced Degree (Masters) in Statistics, Physics, Mathematics, Finance, Econometrics, Operations Research, or other quantitative disciplines
• Bachelor of Science (BS) degree in a quantitative discipline with 10+ years strong relevant experience may be considered in lieu of Masters with 8+ years’ experience.

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