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Job Overview

• Citibank China Company Ltd. (‘CCCL’) is Citibank’s locally incorporated subsidiary with full-fledged banking license serving the Mainland China market. Second Line of Defense (‘2LoD’) oversight for Liquidity Risk, Non-Trading Market Risk (Interest Rate Risk in the Banking Book - IRRBB), and Balance Sheet Risks is executed by Finance CRO (FinCRO).

• The Treasury Risk Vice President (C13) leads independent 2LoD oversight, risk limit framework design/recalibration, quantitative risk analysis, and credible challenge for Non-Trading Market Risk and Liquidity Risk across CCCL.

• The role ensures robust governance across risk appetite, intraday liquidity, internal/regulatory liquidity stress testing, IRRBB supervisory frameworks (including Supervisory Outlier Tests), behavioral modeling assumptions, and regulatory compliance with PBOC/NFRA and Basel standards.

Job Background / Context

CCCL’s Independent Risk Management acts as the second line of defense for the holistic management of risk across all business lines and entities in China. Within Independent Risk Management, the Finance CRO team provides independent oversight, review, and credible challenge to 1LoD functions (Corporate Treasury, Market Treasury, and Global Markets).

The team ensures CCCL maintains an adequate liquidity profile, resilient intraday payment/settlement capacity, and an optimized balance sheet structure that operates strictly within Board-approved Risk Appetite thresholds for Liquidity, IRRBB, Capital Adequacy, and Investments. The VP serves as a senior subject matter expert driving quantitative risk analytics, limit calibrations, and regulatory engagements.

Key Responsibilities

1. Risk Limit Setting, Calibration & Risk Appetite Framework

• Limit Setting & Recalibration: Lead the periodic and ad-hoc review, establishment, and quantitative recalibration of CCCL’s Treasury Risk Limit Framework covering Liquidity, IRRBB, and balance sheet structure.

• Risk Appetite & Triggers: Formulate and recalibrate Board-approved Risk Appetite Statements (RAS), Early Warning Indicators (EWIs), and management triggers to reflect balance sheet changes, business strategy, and market dynamics.

• Methodology Challenge: Provide formal 2LoD challenge on underlying limit methodologies, allocation waterfalls, buffer sizing, and scenario severity parameters.

2. Liquidity Risk Management & Intraday Liquidity Oversight

• Intraday Liquidity Oversight: Drive 2LoD monitoring and independent oversight of intraday liquidity risk, time-critical payment/clearing obligations (CNAPS/CIPS), and intraday collateral mobilization.

• Payment Buffer & Collateral Adequacy: Assess and challenge CCCL’s intraday liquidity buffers, credit lines, central bank pledged collateral, and overdraft facilities under normal and stressed conditions.

• Contingency Funding Planning (CFP): Review and challenge the operational feasibility of CCCL’s Contingency Funding Plan, liquidity escalation triggers, and asset monetization capabilities.

3. Liquidity Stress Testing (LST) & Scenario Modeling

• Internal Stress Testing (ILST): Lead 2LoD review and credible challenge of CCCL’s Internal Liquidity Stress Testing frameworks, Resolution Liquidity Adequacy (RLAP/RLEN), and survival horizon metrics.

• Scenario Design & Assumptions: Assess the severity and relevance of idiosyncratic, systemic, and combined stress scenarios; review cash flow projections, deposit runoff assumptions, contingent liquidity draws, and wholesale funding rollovers.

• HQLA Buffer Sizing: Evaluate the sizing, composition, currency mix, and unencumbered status of CCCL’s High-Quality Liquid Assets buffer.

4. Regulatory Compliance & Standards (Liquidity & IRRBB)

• Liquidity Regulatory Ratios: Ensure continuous 2LoD monitoring and compliance with PBOC and NFRA regulatory ratios, including Liquidity Coverage Ratio (LCR), Net Stable Funding Ratio (NSFR), Liquidity Ratio (LR), and Net Cumulative Outflow metrics.

• IRRBB Regulatory Frameworks: Ensure strict compliance with NFRA IRRBB Guidelines for Commercial Banks, PBOC macroprudential requirements, and Basel BCBS 368 standards.

• Supervisory Outlier Tests (SOT): Lead the 2LoD assessment, validation, and monitoring of regulatory SOT for

• Regulatory Reporting & Exams: Oversee and validate local regulatory IRRBB returns, interest rate repricing gap schedules, and supervisory stress test submissions; provide technical risk support for PBOC/NFRA examinations and inquiries.

• Regulatory Change: Track, interpret, and drive the implementation of evolving prudential standards across IRRBB, Credit Spread Risk in the Banking Book (CSRBB), and liquidity metrics (BCBS 248 / Basel III/IV).

5. Non-Trading Market Risk (IRRBB) & Modeling Assumptions

• IRRBB Metrics Oversight: Review, analyze, and challenge banking book interest rate risk metrics, including Economic Value of Equity (EVE) sensitivity, Earnings at Risk (EaR), and Net Interest Income (NII) sensitivity.

• Behavioral Assumptions: Review and challenge behavioral modeling assumptions for non-maturity deposits (NMDs), loan prepayments, deposit early redemptions, and Funds Transfer Pricing (FTP) rules.

• Variance & P&L Attribution: Supervise detailed variance analysis and driver attribution explaining balance sheet metric movements.

6. Governance, Committee Presentation & Risk Culture

• Senior Governance Forums: Prepare risk analytics and actively participate in the Asset and Liability Committee (ALCO), Country Risk Management Committee (RMC), and Country Coordination Committee (CCC).

• ICAAP & Resolution Planning: Provide critical 2LoD input and independent challenge for Non-Trading Market Risk (IRRBB) and Liquidity Risk sections of the ICAAP and Recovery & Resolution Plans.

• Audit & Control Remediation: Serve as primary risk contact for Internal Audit and external regulatory examinations; drive the timely remediation of Corrective Action Plans (CAPs) and Manager's Control Assessments (MCA).

• Conduct & Ethics: Uphold the highest standards of conduct, ethics, and compliance, transparently managing and escalating risk and control issues.

Development Value

• Direct Franchise Impact: High-visibility role managing and defending the treasury, IRRBB, and liquidity risk profile of Citi's onshore China banking franchise (CCCL).

• Senior Stakeholder Exposure: Strategic interface with senior franchise leadership (CCCL CRO, Treasurer, CFO, and Regional FinCRO heads).

• Regulatory & Technical Mastery: Advanced exposure to onshore PBOC/NFRA and Basel regulatory regimes, leading limit recalibration, stress testing, and supervisory outlier evaluations.

• Career Growth: High-impact leadership track offering clear progression into broader regional Treasury Risk and Country CRO roles.

Person Specification

Qualifications & Experience

• Education: Bachelor’s degree in Finance, Economics, Quantitative Risk Management, Financial Engineering, or Accounting. Master’s degree or professional certifications (FRM, CFA) strongly preferred.

• Subject Matter Expertise: In-depth technical mastery of Liquidity Risk (LCR, NSFR, ILST, intraday liquidity, collateral management) and IRRBB / ALM (EVE, EaR, NII sensitivity, yield curve modeling, CSRBB).

• Experience: 6–10+ years of relevant experience in Treasury Risk Management, Liquidity Risk, Balance Sheet / ALM Risk, or Non-Trading Market Risk in banking or financial institutions.

• Limit Calibration & Analytics: Proven expertise in designing, quantitatively calibrating, and backtesting risk limits, stress scenarios, and early warning trigger frameworks.

• Regulatory Knowledge: Strong working knowledge of PBOC and NFRA regulatory rules, reporting standards, Basel III/IV frameworks, BCBS 248 intraday metrics, and BCBS 368 IRRBB standards.

• Credible Challenge: Confident executive presence with the ability to provide robust, credible challenge to 1LoD Corporate Treasury, Market Treasury, and business heads.

• Legal Entity Risk: Experience working within a locally incorporated bank subsidiary or material legal entity environment.

• Technical Tools: High proficiency in Advanced Excel/VBA, SQL, and financial risk engines; experience with Python or BI tools and applying AI/automation to streamline workflows.

• Language Skills: Full professional fluency in written and spoken English and Mandarin (Putonghua) is mandatory.

• Communication & Governance: Strong communication and memo-writing skills to articulate complex balance sheet, liquidity, and rate risk dynamics clearly to senior governance committees (ALCO/RMC/Board).

• Examinations & Audits: Prior experience participating in regulatory examinations, risk assessments, and internal audits.

• Execution & Resilience: Self-driven, highly organized, and capable of prioritizing and delivering under tight timelines.

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