Ensure overall accuracy and rule compliance of Citi’s FRTB CVA implementation across multiple jurisdictions
Work with Front Office, Risk Managers, and Technology to draft requirements, identify solutions to remediate issues, and validate technology implementations
Responsible for project management of the FRTB BA CVA implementation
Guide team to analyze FRTB CVA RWA results and identify key drivers
Partner with interpretive, 2LOD, and Audit teams to support internal governance of FRTB CVA implementation
Work with internal partners to design robust end-to-end controls and operating model
Key contributor in regulatory discussions and exams, including supporting written responses and meeting presentations
Qualifications:
10+ years of experience in XVA Risk/Market Risk/Counterparty Risk management, or related model development/quantitative analytics roles
Prior experience with trading book RWA calculation or management required
Experience in directly interacting with the FRB & OCC on Risk/RWA matters; Experience in similar interactions with the PRA and ECB a plus
Knowledge of FRTB rules strongly desired
Strong understanding of the operating model and roles and responsibilities associated with each of the three lines of defense
Prior involvement in FRTB related industry discussions or advocacy forums hosted by Industry Trade Associations or Consulting Firms a plus
Education:
Bachelor’s degree in quantitative fields required; Advanced degree/MBA strongly preferred
Fin Solutions Dsgn & ImplementFull timeLong Island City New York United States$170,000.00 - $300,000.00