Citi Group Market Risk - Vice President 

Malaysia, Penang, George Town 

342111228

Responsibilities:

• Spearhead the development of Market Risk RWA calculation framework to provide coverage for current and future regulatory changes (e.g. FRTB) including SA and IMA methodologies

• Represent the team in firm-wide cross-functional working groups to provide explains for the drivers of periodic Market Risk RWA changes as well as methodology remediations

• Drive engagement with Risk Management, technology as well as local finance teams to develop operating model and control framework with focus on legal entities trading book portfolios

• Develop business requirements and drive UAT for capital calculations, analytics and reporting on behalf of the team

• Demonstrate expertise and knowledge relating to Market Risk, Basel Regulatory Guidelines and serve as a Market Risk SME in interactions with various internal and external stakeholders

• Build strong relations with various partner groups and stakeholders, including Market Risk Managers, Trading desks and related groups in Finance to drive team’s deliverables and priorities

• Work directly with key business and technology and operations personnel to address day-to-day delivery and execution tasks and to ensure throughput and process execution is optimized.

• Execute internal controls and document effectiveness of the control structure used in the RWA analysis.

Qualifications:

• 6-8+ years of extensive experience within the financial services industry and Market Risk management or related domain

• Knowledge of market risk concepts and methodologies like VaR, Expected Shortfall (ES), SVaR, Risk factor sensitivities etc.

• Ability to understand market risk concepts as it relates to regulatory capital calculations and application of it when interacting with partner groups as well as performing risk analytics on Market Risk RWA data sets

• Strong communication skills, with ability to synthesize complex concepts, and influence change.

• Strong technical problem-solving skills and an ability to identify conflicts, discrepancies and other issues and bring together the right stakeholders to solution them.

• Ability to manage competing priorities and tasks in a complex and dynamic and work well as part of a team.

Education:

• Bachelor's/University degree in Finance or Accounting, Master's degree preferred.

• CFA and /or FRM certification preferred

Time Type: