Market Risk - FRTB Business Analyst, VP (London or Dublin)

Implementation of FRTB is a key transition in market risk and a major deliverable for the Global Market Risk Group at Citi.

This role is for an experienced senior business analyst to join the GMR FRTB project, covering FRTB SA, IMA and the underlying migration from Monte Carlo VaR to Historical Simulation. The successful candidate will interface across multiple functions including quantitative risk, risk technology, front office technology and other groups as well as the market risk manager population.  The candidate must be able to build highly effective relationships with colleagues and be comfortable with quantitatively complex issues, have an appetite for work at the detailed level and be a producer of high quality output.  

It is vital that the candidate should have good technical and business knowledge around market risk approaches, associated regulatory requirements. Prior experience in analysis of the issues around and the production of high quality project artifacts for FRTB is highly advantageous. The exposure gained within the global group will potentially provide the candidate opportunities to expand and evolve their role for future career development.

Day to Day Responsibilities:

• Undertaking business analysis of key topics in order to produce project artefacts as required.

• Provide thought leadership in terms of understanding of problems, issues and processes.

• Working with stakeholders to produce requirements and functional specification documents.

• Working with market risk manager SMEs’ to identify business and technical issues as well as associated resolutions in a timely manner.

Experience / Competencies:

• Relevant experience in financial markets/market risk with good knowledge of key risk metrics and risk process flows.

• Good presentation and communication skills.

• Proven track record in project delivery in market risk areas.

• Proven ability to interface and build relationships with diverse groups and team members.

• Experience with RDMS and proficient SQL skills.

• Any Python or scripting knowledge would be beneficial.

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