Citi Group Market Risk Lead Controller - Credit Valuation Hybrid 

Poland, Masovian Voivodeship, Warsaw 

67386533

The RWAC (Risk-weighted Assets Controllers) group is at forefront of Citi’s implementation of Basel 3 endgame by ensuring accurate & effective capital calculation methodologies with goal of compliance with evolving regulatory requirements and maintaining capital at prudent levels.

Key Responsibilities:

• Spearhead the development / validation of overall capital framework – including - calculation, analytics, governance, and reporting

• Drive rationalization in the capital calculation methodology for improved accuracy, risk driver identifications as well as variance explains.

• Represent capital planning in firm-wide cross-functional working groups to help build data management and overall risk control framework as part of larger FRTB (Fundamental Review of the Trading Book) program.

• Engage with technology to drive business requirements and UAT (User Acceptance Testing) for capital calculations, analytics and reporting on behalf of RWAC team

• Participate in regulatory gap analysis, remediation plan development as well as technical interpretation discussions with internal & external stakeholders.

• Build strong relations with various stakeholders, including CVA Risk Managers, XVA (X-Value Adjustment) Trading and related groups in Finance

Key Skills and Qualifications:

• Solid experience in Capital Markets as well as good understanding of trading products (Fixed Income, Equity, Currencies & Commodities) and/or securities services (Prime, Collateral, Clearing, Custody, Fund Services)

• Prior experience with risk calculations in product control, risk management or similar set up with exposure to CVA, EAD (Exposure at Default), risk factor sensitivities etc.

• Hands-on data analytics skills in Excel, Access, VBA/ SQL and other data management tools. Knowledge of additional programming languages would be a plus.

• Understanding of Front Office trading processes across the full trade lifecycle within a large bank/dealer,

• Prior experience with regulatory capital initiatives would be a great advantage;

• Solid understanding of various OTC (Over-the-Counter) derivative products and associated counterparty credit risk calculation methodologies (EAD, CVA, sensitivities etc.)

• Hands-on experience in designing and implementing structured business/operational processes and associated business requirements documentation

• Strong verbal and written communication skills, to effectively produce procedural documentation. Ability to communicate complex technical issues to non-technical colleagues

Education:

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

• Certifications in Finance/Accounting preferred

What we offer:

• Inclusive and friendly corporate culture where gender diversity and equality is widely recognized;

• Abundance of internal job opportunities locally and globally

• A chance to make a difference with various affinity networks and charity initiatives

• Competitive compensation package and consideration for a yearly discretionary bonus

• Attractive social benefits (private medical care, multisport, life insurance, award-winning pension scheme, holiday allowance, award/recognition system; maternity/paternity scheme, hybrid work model, lucrative bonuses within employee referral program, and other)

Time Type:

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