Citi Group SVP Market Risk CVA Weighted Assets Hybrid 

United States, New York, New York 

438904355

This position is for a subject matter expert in trading risk management and RWA calculation for Trading Book/Derivatives to provide technical leadership and oversight across Basel 2.5 and FRTB implementations under different regulatory regimes. Key Responsibilities Include:

• Assessing compliance of current implementations with regulatory rules, and working with stakeholders to prioritize and drive remediations.

• Analyze and identify data quality issues, operating model deficiencies, and control gaps, and support remediations and escalations.

• Provide peer review of documentation, and drive documentation enhancements.

• Assess infrastructure opportunities to improve both analytical capabilities and control environment, and work with Technology to prioritize book of work.

• Support regulatory discussions, exams, and industry advocacy efforts for Market Risk and FRTB CVA RWA.

Qualifications:

• 7+ years of experience in Market Risk, CVA, or Counterparty Credit Risk (ideally a combination of the above)

• Strong familiarity with traded products, especially with greeks, modeling methodologies, and risk models such as VaR, SVaR, IRC

• In-depth knowledge of Regulatory capital rules; Must have hands-on experience with Market Risk or CVA RWA calculation and analysis

• Proficiency in tools such as SQL, Python, Tableau required

• Prior experience in interacting directly with regulatory agencies such as FRB, OCC, PRA, ECB

• Familiarity with supporting Internal Audit reviews and remediating Audit issues

• Undergraduate degree in STEM, Financial Engineering, or Economics required; Advanced degree strongly preferred

• CFA or FRM certification will be a plus

Anticipated Posting Close Date:

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