Market Risk Lead Controller - Credit Valuation (Hybrid)

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 RWAC (Risk-weighted Assets Controllers) 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 CVA (Credit Valuation Adjustment) Team, and is focused on calculation as well as analytics for bank’s trading book portfolio capital. It also entails ongoing coordination with business partners / front office/businesses, risk management, internal audit, technology, and senior management.

Key Responsibilities:

• Spearhead the development / validation of overall capital framework – including - calculation, analytics, governance, and reporting

• Drive rationalization in the capital calculation methodology for improved accuracy, risk driver identifications as well as variance explains.

• Represent capital planning in firm-wide cross-functional working groups to help build data management and overall risk control framework as part of larger FRTB (Fundamental Review of the Trading Book) program.

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

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

• Build strong relations with various stakeholders, including CVA Risk Managers, XVA (X-Value Adjustment) 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/or securities services (Prime, Collateral, Clearing, Custody, Fund Services)

• Prior experience with risk calculations in product control, risk management or similar set up with exposure to CVA, EAD (Exposure at Default), risk factor sensitivities etc.

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

• Understanding of Front Office trading processes across the full trade lifecycle within a large bank/dealer,

• Prior experience with regulatory capital initiatives would be a great advantage;

• Solid understanding of various OTC (Over-the-Counter) derivative products and associated counterparty credit risk calculation methodologies (EAD, CVA, sensitivities etc.)

• Hands-on experience in designing and implementing structured business/operational processes and associated business requirements documentation

• Strong verbal and written communication skills, to effectively produce procedural documentation. Ability to communicate complex technical issues to non-technical colleagues

Education:

• BA in Business, Finance, Economics, Sciences or related field (Master’s degree is a plus)

• Certifications in Finance/Accounting preferred

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

• 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)

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