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Trading Book Risk Weighted Assets Senior Analyst

Job Req ID 21319743 Primary Location Mumbai, India; New York, New York Job Category Finance
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Citi is a leading global financial services company having 200 million customer accounts. Citi does business in more than 100 countries, providing consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, and wealth management.

The Capital Planning (CP) team ensures the effectiveness of, and dedicated focus on, Citi’s Capital Planning activities, recognizing the increasing importance of this function given evolving regulatory requirements and Citi’s goal of maintaining Capital at prudent levels.  Specifically, CP coordinates evolving regulatory rule changes and enhancements and facilitates Citi’s goal of managing its Common Equity Tier 1 (CET1) ratio.  This position is part of the Trading Book Market Risk Weighted Assets (MRWA) Integrity team within the Capital Planning organization of Citi Finance. 

The Trading Book MRWA Integrity is responsible for the production processes, controls and reporting of MRWA Actuals, CCAR Forecasts, Regulatory Reporting and BASEL Self-Assessments. This includes monthly and quarterly computation & reporting of modeled and standardized capital charges.

The role will provide the candidate an opportunity to gain an in-depth understanding of Trading Book MRWA, including exposure to next generation of regulations such as Fundamental Review of Trading Book (FRTB) and related production processes, data management, regulatory reporting and the overall capital planning process. This in course will involve active interaction with business partners / stakeholders viz. front office/businesses, internal audit, technology, and senior management. It will involve support for the computational methodologies used to determine RWAs, including any assumptions, interpretations and/or models used to make those determinations.

Key Responsibilities Include:

  • Actively participate in and support the development of Market Risk RWA computation framework covering FRTB Standardized Approach (SA), Internal Model Approach (IMA) and CVA components
  • 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
  • Actively engage with technology for the development of enhanced risk calculations, analytics, reporting and UAT testing on behalf of Capital Planning
  • Build strong relations with various MRWA partner groups and stakeholders, including Market Risk Managers, Trading desks and related groups in Finance

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 related models and statistical concepts and interact with model developers as partners in the Market RWA process
  • Advanced skills in Excel, Access, 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) and/or securities services (Prime, Collateral, Clearing, Custody, Fund Services)
  • Basic understanding of Front Office trading processes across the full trade lifecycle within a large bank/dealer

Skills and Competencies – Must be able to demonstrate:

  • Strong analytical skills, with attention to detail
  • Hands-on experience in designing and implementing structured business/operational processes and associated business requirements documentation
  • Exposure to analyzing legislative and regulatory texts, and associated legal analysis
  • Strong interpersonal skills to collaborate with colleagues and deliver solutions in a team environment
  • Strong verbal and written communication skills, to produce procedural documentation.
  • Ability to communicate complex technical issues in a simple manner.

Education Level:

  • Bachelor's degree or higher
  • CFA, FRM or equivalent certifications preferred

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Job Family Group:

Finance

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Job Family:

Fin Solutions Dsgn & Implement

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Time Type:

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Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

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