Citi Group Market Risk Senior Analyst - AVP 

Malaysia, Penang, George Town 

75337498

The RWA Controllers (RWAC) team ensures the accuracy and effectiveness of Citi’s capital calculation and planning activities. The team is at forefront of evolving regulatory requirements (Basel end game) and Citi’s goal of maintaining Capital at prudent levels. This position is part of the Market Risk RWA (Risk Weighted Assets) calculation team that is responsible for implementing RWA calculation methodology and related analytics.

Interact with Front Office and Risk Management on regular basis to reconcile risk data points, verify calculation parameters and support attestation of final capital

Gain expertise and knowledge relating to Market Risk Regulations (FRB/OCC), Basel Regulatory Guidelines and capital market products with aim to become a Market Risk SME in interactions with senior management and regulators

Build strong relations with various partner groups and stakeholders, including Market Risk Managers, Trading desks, technology etc.

Qualifications:

BA in Business, Finance, Economics, Sciences, or related field (Master’s degree is a plus)

Familiarity with market risk concepts and simulation-based methodologies like VaR, SVaR, Expected Shortfall (ES), risk factor sensitivities etc.

Ability to understand risk models and statistical concepts and interact with developers as partners to drive improvements in MR RWA calculations

Advanced skills in Excel, VBA/SQL and data management. Knowledge of additional programming languages a plus.

3+ years of experience in Capital Markets with exposure to Market Risk management related activities or projects

Basic understanding of global markets and at least one asset class among trading products (Fixed Income, Equity, Currencies & Commodities)

Basic understanding of Front Office trading processes and associated market risk management

Skills and Competencies – Must be able to demonstrate:

Strong analytical skills with ability to analyze large data volumes and deliver risk insights

Ability to communicate complex technical issues in a simple manner

Basic understanding of traded products with focus on market risk measurement methodologies

Exposure to prior regulatory projects with focus on implementing calculations

Time Type:

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