• Direct reporting to the CRO of the bank
• Representing CGME in interactions with regulators mainly BaFin, Deutsche Bundesbank and ECB as required
• Building up the local model risk management expertise and governance infrastructure in Frankfurt to prove to the local regulator
• People management
• Model risk management across the model lifecycle including model validation, ongoing performance evaluation and annual model reviews
• Communication and explanation of related capital impact internally to business and externally to regulators
• Stakeholder management - model developers and business owners during the model lifecycle
• Overseeing outsourcing of services, as required, to groups within Citi globally, in line with local regulatory requirements
• Definition of the CGME Model Risk Appetite, maintenance relevant KRIs and reporting on to the Board periodically
• Maintain a model inventory for CGME in conjunction with, or as a part of, the global Model Risk Management Inventory
• Presenting model validation findings to senior management and supervisory authorities
• Providing effective challenge to model assumptions, mathematical formulation, and implementation
• Assessing and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls
• Maintaining and formulating if necessary CGME model governance documents as required by regulators
• Governance and framework in relation to AI models
• SME in the global working group on use of AI models
• Contributing to strategic, cross-functional initiatives within the risk organization
• Provide guidance to junior validators
• Conducting ad-hoc data analysis to support regulatory inquiries and internal capital optimization for CGME
• Performing model analysis to support model validation
• Manage the validation and model risk of all models especially Market Risk and Counterparty Credit Risk models in CGME in line with local regulatory requirements
• Technical assessment of adequacy of the modelling data and assumptions, conceptual soundness and mathematical formulation, and model performance, as well as the assessment of using the model for regulatory and business applications
• ICAAP and ILAAP in particular with respect to Risk Strategy, Business Strategy, Risk Inventory and Assessment Process, Risk Appetite Statement and Capital Planning
• Research and Development of the Climate Risk Framework and it?s integration into the Risk Governance
• SME regarding Asset Quality Review as part of the comprehensive assessment for the bank carried out by ECB.

• Risk control - non-linear risks
• Risk bearing capacity calculation for specific risk
• Calculation of the market risk of the bank - Pillar 2
• Model validation related tasks:
  • Stress VaR validation
  • Validation spread calculation
  • Tenor basis risk
  • New ?products
• Further development of the models and framework used for calculations of the market risk in the banking book
• Consulting and further development of the model risk framework
• Consulting and further development of the regulatory stress tests of the bank, in particular Interest Rate Risk in the Banking Book (IRRBB)
• Reporting and analysis of the interest rate risk in the banking book
• Consulting regarding the structuring of the relevant risk factors
• Development of market risk management tools (VBA, SQL, R)

• Direct reporting to CRO of the bank
• Internal and external communication on liquidity risk management topics
  • Risk management department, treasury, F&C, PMO
  • Boards and committees
  • Internal Audit, External Audit (KPMG), BaFin
• ILAAP
  • Planning of available stable funding and funding cost
  • Planning of adequate liquidity buffer for the bank
  • Review and further development of the risk appetite framework
  • Review and further development of EWI/KRI framework
  • Review and further development of liquidity stress test (methodology and parameterization)
  • Development and implementation of a reverse stress test methodology
  • Development and implementation of an intraday liquidity risk management framework
  • Review and further development of risk register
  • Update of documentation - policies and procedures
  • Development of a contingency funding plan
  • Design, planning and execution of a liquidity fire-drill exercise
• Asset and Liabilities Management
  • Support for the corporate treasury
  • Ad hoc analysis on liquidity risk
  • Liquidity risk analysis and creation of presentations for the risk management
• committee and the asset and liabilities management committee of the bank
• ICAAP
  • Development of the economic capital framework of the bank
  • Market risk calculations - Pillar 2
• Risk Control
  • Daily reporting
  • Development of reports for daily risk control (Money Gap, FX-exposure, LCR, NSFR)
  • I?PV
  • New products process from both market and liquidity risk perspective
• Model Risk Framework
  • Model Risk Policy and Procedures
  • Model Inventory
• Tools Development (VBA, SQL, Python)
  • LCR tool
  • NSFR tool
  • Liquidity stress test tool
  • Reverse stress test tool
• Projects
  • IRRBB ? development and implementation of delta EVE and delta NII
  • IBOR Reform ? analysis of Curve Set-Up in internal systems (multicurve)
  • CRR2 ? business analysis from liquidity risk management perspective
  • EM?IR ? IM CSA analysis

• Risk Control
  • Measurement of non-linear interest rate risk and equity risk for the options book (internal model)
  • Stress testing, Backtesting for the options book
  • Calculation of spread time series for the residual risk calculation
  • Responsibility for the calculation of the model risk reserve for pricing models
• Risk Design
  • Further development of the risk management tools and methodology (internal model
  • VCV and Monte Carlo)
  • Implementation of data cleansing techniques
  • Methodology for credit spread calculation
• Model validation related tasks
  • Stress VaR periods
  • Residual risk / Rating-Sector-Curve Universe
  • Basis risk effects (Tenor basis, Currency basis)
• Regulation
  • ECB / Basel data collection
  • FRTB (Murex set-up)
  • TRIM (Internal Backtesting, Backtesting with hypo portfolios)
  • IBOR Reform (Curve set-up and Test in Murex)
  • EBA-Benchmarking Portfolio Exercise (hypothetical portfolios)
• Middle Office
  • Risk calculation via Murex and Front Arena
  • An?alysis of Bugs/Issues in the Murex Set-up and addressing/tracking of the issues

• Business Analysis
  • MiFID
  • EMIR (Reporting ? Project Initiation)
  • SFTR (Reporting ? Project Initiation)
• Project Management (PMI und Scrum)
  • Information to clients
  • Reporting to clients
  • Transaction reporting
  • Pre and Post-trade transparency
  • Microstructural issues (Algo trading)
  • SI
• External Stakeholder Management
  • IBM
  • FIS (Ubix, Kordoba)
  • Kordoba
  • Trading venues
  • AR?M/APA

• Business Analysis
  • ?Transaction ?reporting ? Analysis of the trading and client universe of the bank and creation of functional documentation

• Development of a Difference Claim Calculation Tool for the Default Management Process of the clearing house
  • Busi?ness requirements definition, system landscape analysis, technical specification
• Monitoring and further development of the offering of the clearing house, mainly driven by changes in the regulatory landscape (e.g. EMIR, SFTR, MIFID II, PRIIPs, Basel III, CPMI IOSCO, BaFin, FCA) and customers? needs.
• Functional definition and maintenance of clearing rules and regulations
• Further development of the Default Management Process with respect to the porting functionalities.
• Expansion and maintenance of the service offering in terms of jurisdictions
• Assessment of clearing house admission criteria
• Securing of clearing models workability across clearing and trading IT landscape
• Creation of a VBA tool, simplifying the review of the juristic landscape with respect to the different clearing models

• Operational functions within the risk management department of the clearing house:
  • Intraday risk monitoring
  • Intraday margin calls analysis and issuance
  • Management of the risk management systems and tools
  • Clie?nt support
• Development of the new as well as maintenance of existing risk management systems and tools
• Implementation of new products and services. Support through the entire product lifecycle Design/Specification/Implementation/Acceptance/Operations
• Impact analysis, as well as design and amendments of methodology/systems/processes with respect to new regulatory requirements (EMIR, SFTR, MiFID II/MiFIR, CPSS-IOSCO, CRD IV, PRIIPs)
• Creation of presentation for national and international Supervisory Authorities? meetings (BaFIN, ESMA, Risk College)
• Risk methodology design
• Prototyping (VBA, SQL, Matlab)

• Programming on Matlab, R, SQL, VBA, Python
• Risk Modelling, including VaR models
• Derivative pricing
• Stress testing and Backtesting design
• Functional design on Calypso-Platform
• Interest Rate Bootstrapping methodology design
• Cleansing und preparation of market data
• Preparation of documentation on regulatory requirements (Basel 3 and Basel 3.5)
• Design of Market Conformity Analysis for capital requirements of derivative products
• Preparation of internal management reports for the senior management of the risk management service line

Master Thesis Topic: on request

• Methodology
• Implementation Matlab
• Stress testing
• Backtesting

• Design of equity indexes
• Research and development of strategies for passive portfolio management
• Calculation and quantitative analysis of index data and capital markets data
• Market data research and analysis via Reuters/Bloomberg terminals
• Creation of new product presentations and decision materials
• Market research and competition analysis
• Support with respect to contract management and clients for index derivatives, as well as post-sales service

• Studying the working environment, databases and tools, in particular the programming language SAS, Enterprise Guide and VBA, as well as the risk models of PBC
• Familiarization with the used SAS macro-structure, as well as further development of the existing macros
• SAS programming
• Creation of reporting-algorithms for the worldwide outstanding cash flows with respect to real estate loans
• Reconciliation of the reporting results on a new IT-Platform
• Preparation of presentations for an IT project
• Development of standardized PowerPoint Charts for the reporting of a new production technology
• Familiarization with the Credit Life Cycle
• Research on the topic "Loan-Loss-Allowance" and "Herfindahl-Hirschmann-Index", as well as programs for statistical analysis

• Development of the Investor Relations-Approach of the bank, in particular creation of product presentations
• Support with respect to the strategical development of the Treasury in the area of liquidity management, in particular analysis and summary of papers from the Bank for International Settlement
• Academic research on the German financial and banking system, in relation to the juristic status of the bank under the consideration of economic aspects
• Interest rate risk analysis for the asset liability management of the bank and the related financial instruments