Citi Group Assistant Vice President Credit Valuation Adjustment RWA– C12 

Malaysia, Penang, George Town 

551118518

Whether you’re at the start of your career or looking to discover your next adventure, your story begins here. At Citi, you’ll have the opportunity to expand your skills and make a difference at one of the world’s most global banks. We’re fully committed to supporting your growth and development from the start with extensive on-the-job training and exposure to senior leaders, as well as more traditional learning. You’ll also have the chance to give back and make a positive impact where we live and work through volunteerism.

Shape your Career with Citi

• We believe all parents deserve time to adjust to parenthood and bond with the newest members of their families. That’s why in early 2020 we began rolling out our expanded Paid Parental Leave Policy to include Citi employees around the world.
• We empower our employees to manage their financial well-being and help them plan for the future.
• We have a variety of programs that help employees balance their work and life, including generous paid time off packages.

In this role, you’re expected to:

• Closely partner with XVA Desk and XVA Risk and contributes to the design, roll-out and governance of Citi's FRTB CVA implementation
• Validates implementation approach against FRTB Regulatory Rules, and proposes solutions to remediate any compliance and accuracy issues
• Identifies opportunities to enhance safety and soundness of FRTB CVA RWA production processes
• Analyzes FRTB CVA RWA results and identifies key drivers
• Supports Program Managers with accurate status reporting, timely escalations, and identifying risks and dependencies
• Supports Citi's internal FRTB governance and interpretive processes by conducting ad-hoc analyses, and helping with implementation and process documentation

• 3-5 years of experience in either Market or XVA Risk Management, or Quantitative Analytics/Model development
• Experience with Python, SQL, and Advanced Microsoft Office skills
• Familiarity with RWA concepts and FRTB rules preferred.
• Excellent relational and communication skills
• Bachelor’s degree in quantitative fields; Master's degree preferred
• Professional certifications such as FRM or CFA a plus

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

Time Type:

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