Market Risk / FRTB and CVA RWA Forecast Lead - SVP

Discover your future at Citi

Working at Citi is far more than just a job. A career with us means joining a team of more than 230,000 dedicated people from around the globe. At Citi, you’ll have the opportunity to grow your career, give back to your community and make a real impact.

Job Overview

This Senior Vice President (SVP) position within Citi's Capital Planning and Management organization focuses on driving the implementation of the Fundamental Review of the Trading Book (FRTB) and Credit Valuation Adjustment (CVA) RWA Forecasting frameworks under Basel IV. The role bridges Risk, Front Office, Finance, and Technology, requiring regulatory expertise, quantitative skills, and leadership to manage a complex, multi-disciplinary program. The role involves driving process improvements, technology initiatives, and engaging with stakeholders to enhance capital planning activities, including contributing to the design and delivery of target state infrastructure.

Responsibilities
This role has a wide range of responsibilities related to FRTB and CVA implementation, including:

• Program Leadership and Regulatory Alignment: Leading FRTB and CVA workstreams, aligning with regulatory timelines, translating regulations into deliverables, and coordinating across multiple functions (Market Risk, Credit Risk, Treasury, Finance, Quantitative Modeling, and Technology). Developing program roadmaps, milestones, KPIs, and escalation procedures.
• Stakeholder Management and Requirements Gathering: Acting as the primary contact for Front Office, Risk, and Finance, aligning business objectives with regulatory requirements. Partnering with Front Office and Risk Management to assess capital and P&L implications under Standardized and Internal Models approaches. Liaising with regulatory bodies and internal functions (legal, compliance).
• Methodology Development and Impact Assessment: Driving methodology development and impact assessments for FRTB (SA & IMA) and CVA (SA-CVA, BA-CVA) approaches. Guiding the design of risk sensitivities, calibration of risk weights, and alignment with approved methodologies.
• Data Management and System Enhancements: Leading the specification and validation of data sourcing, trade classification, and risk factor mapping for regulatory capital computation. Overseeing system enhancements and integration for real-time risk aggregation and regulatory reporting.
• Governance and Control: Ensuring completeness and auditability of capital reporting and attribution processes. Establishing governance around model validation, documentation, and regulatory submission. Embedding controls across capital calculation processes for Basel IV compliance.
• Regulatory Monitoring and Framework Updates: Tracking regulatory updates and assessing their impact on the existing framework.

​Required Skills & Competencies

• Experience: 10+ years in Market Risk, Quantitative Risk, Regulatory Capital, or Front Office Risk, aligned with regulatory change.
• Regulatory Knowledge: Strong understanding of Basel III/IV, with deep expertise in FRTB and CVA.
• Program Management: Proven experience leading cross-functional regulatory implementation or capital optimization programs in a Tier 1 bank or consulting firm.
• Quantitative Background: Master’s/PhD in Finance, Mathematics, Engineering, or a related field. Familiarity with IMA model development.
• Soft Skills: Excellent stakeholder management, project leadership, and communication skills.
• Data Management: Familiarity with data governance, data quality, and compliance frameworks.
• Technical Skills: Experience with risk systems, capital engines, and regulatory platforms. Proficiency in Microsoft Excel and PowerPoint.
• Other Skills: Ability to manage competing priorities, make decisions independently. In-depth knowledge of banking products/systems preferred. Experience in project management, process re-engineering, change management, Regulatory Capital, or Capital Planning is a plus.

------------------------------------------------------

Job Family Group:

Finance

------------------------------------------------------

Job Family:

Capital Planning and Management

------------------------------------------------------

Time Type:

Full time

------------------------------------------------------

Primary Location:

Long Island City New York United States

------------------------------------------------------

Primary Location Full Time Salary Range:

$192,000.00 - $288,000.00

In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

------------------------------------------------------

Most Relevant Skills

Business Acumen, Capital Planning and Management, Data Analysis, Financial Modeling, Internal Controls, Management Reporting, Problem Solving, Process Execution, Risk Identification and Assessment.

------------------------------------------------------

Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

------------------------------------------------------

Anticipated Posting Close Date:

Sep 11, 2025

------------------------------------------------------

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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.

View Citi’s EEO Policy Statement and the Know Your Rights poster.