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Market Risk Lead Controller - Capital Calculation (Hybrid)

Job Req ID 23715475 Location(s) Warsaw, Poland Job Type Hybrid Job Category Finance
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Post location: Warsaw, Prosta 36

Citi Solutions Center is the main EU banking entity for Citi in EMEA with a presence in 25 European countries. It covers several key business lines including Markets and Securities Services, Integrated Risk, Treasury and Trade Services, Corporate and Investment Banking, Consumer and many others.

About the Team:

The RWA (Risk-weighted Assets) Controllers (RWAC) 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. 

This position is part of the Market Risk RWA Team and is focused on calculation as well as analytics for bank’s trading book portfolio capital. As specific jurisdictions go-live, it would also have opportunity to participate in monthly and quarterly computation & reporting of modeled and standardized capital charges. It also entails ongoing coordination with stakeholders across front office businesses, risk management, internal audit, technology, and senior management.

Key Responsibilities:

  • Spearhead the development & validation of market risk capital calculation methodologies – including - analytics, governance, control, and reporting.

  • Drive rationalization in the capital calculation methodology for various traded products across asset classes (rates, credit, equity etc.) for improved accuracy, risk driver identifications as well as variance explains.

  • Represent RWAC team in firm-wide cross-functional working groups to help build overall risk control framework as part of larger FRTB program initiatives.

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

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

  • Build strong relations with various stakeholders, including Market Risk Managers, 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 associated market risk measurement methodologies.

  • Prior experience with market risk calculations such as VaR, SVaR, Expected Shortfall (ES), risk factor sensitivities etc.

  • Ability to operate in large program set up with focus on cross-functional deliverables while managing dependencies and related risks

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

  • Prior experience with regulatory capital initiative would be a great advantage.

Education:

  • Bachelor’s in business, Finance, Economics, Sciences or related field

  • Master’s degree and/or professional certification in Finance/Accounting is a plus.

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

  • A supportive workplace for professionals returning to the office from childcare leave

  • 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)

#WarsawFinance

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Job Family Group:

Finance

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Job Family:

Fin Solutions Dsgn & Implement

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Time Type:

Full time

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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.

View the "EEO is the Law" poster. View the EEO is the Law Supplement.

View the EEO Policy Statement.

View the Pay Transparency Posting

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