Job Description

Market Risk RWA Controllers \xe2\x80\x93 Vice President

Citi is a leading global financial services company having 200 million customer accounts. Citi does business in more than 100 countries, providing consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, and wealth management.

The RWA Controllers (RWAC) group is at forefront of Citi\xe2\x80\x99s implementation of Basel 3 endgame by ensuring accurate & effective capital calculation methodologies with goal of compliance with evolving regulatory requirements and maintaining capital at prudent levels. This position is part of the Market Risk RWA team and is focused on calculation as well as analytics for bank\xe2\x80\x99s trading book portfolio capital. As specific jurisdictions go-live, it would also have opportunity to participate in monthly and quarterly computation & reporting of modeled and standardized capital charges. It also entails ongoing coordination with stakeholders across front office businesses, risk management, internal audit, technology, and senior management.

Key Responsibilities Include:

Spearhead the development & validation of market risk capital calculation methodologies \xe2\x80\x93 including - analytics, governance, control, and reporting.

Drive rationalization in the capital calculation methodology for various traded products across asset classes (rates, credit, equity etc.) for improved accuracy, risk driver identifications as well as variance explains.

Represent RWAC team in firm-wide cross-functional working groups to help build overall risk control framework as part of larger FRTB program initiatives.

Participate in regulatory gap analysis, remediation plan development as well as technical interpretation discussions with internal & external stakeholders.

Engage with technology to drive business requirements and UAT for capital calculations, analytics and reporting on behalf of RWAC team

Build strong relations with various stakeholders, including Market Risk Managers, Trading and related groups in Finance

Qualifications:

Bachelor\xe2\x80\x99s in business, Finance, Economics, Sciences or related field (Master\xe2\x80\x99s degree is a plus or professional certifications such as CFA, FRM etc.)

Prior experience with market risk calculations such as VaR, SVaR, Expected Shortfall (ES), risk factor sensitivities etc.

Ability to operate in large program set up with focus on cross-functional deliverables while managing dependencies and related risks

Hands-on data analytics using Excel, Access, VBA/ SQL and other data management tools. Knowledge of additional programming languages a plus.

8+ years of experience in Capital Markets and understanding of trading products (Fixed Income, Equity, Currencies & Commodities) and associated market risk measurement methodologies.

Prior experience with regulatory capital initiative is a plus



Job Family Group: Finance



Job Family: Fin Solutions Dsgn & Implement



Time Type: Full time



Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi\xe2\x80\x9d) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review .

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