SVP, Market Risk and CVA Risk Weighted Assets (Hybrid)

The Market Risk and CVA RWA team within Citi's Finance Controllers organization is responsible for calculation, analysis, governance, and reporting of Citi's Basel 2.5 Market Risk and FRTB Market Risk and CVA RWA. The mandate of the team includes supporting multiple jurisdictions across US, EMEA, and Asia.

This position is for a subject matter expert in trading risk management and RWA calculation for Trading Book/Derivatives to provide technical leadership and oversight across Basel 2.5 and FRTB implementations under different regulatory regimes. Key Responsibilities Include:

• Assessing compliance of current implementations with regulatory rules, and working with stakeholders to prioritize and drive remediations.

• Analyze and identify data quality issues, operating model deficiencies, and control gaps, and support remediations and escalations.

• Provide peer review of documentation, and drive documentation enhancements.

• Assess infrastructure opportunities to improve both analytical capabilities and control environment, and work with Technology to prioritize book of work.

• Support regulatory discussions, exams, and industry advocacy efforts for Market Risk and FRTB CVA RWA.

Qualifications:

• 7+ years of experience in Market Risk, CVA, or Counterparty Credit Risk (ideally a combination of the above)

• Strong familiarity with traded products, especially with greeks, modeling methodologies, and risk models such as VaR, SVaR, IRC

• In-depth knowledge of Regulatory capital rules; Must have hands-on experience with Market Risk or CVA RWA calculation and analysis

• Proficiency in tools such as SQL, Python, Tableau required

• Prior experience in interacting directly with regulatory agencies such as FRB, OCC, PRA, ECB

• Familiarity with supporting Internal Audit reviews and remediating Audit issues

• Undergraduate degree in STEM, Financial Engineering, or Economics required; Advanced degree strongly preferred

• CFA or FRM certification will be a plus

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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.

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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.

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