Assistant Vice President Credit Valuation Adjustment RWA

• Closely partner with XVA Desk and XVA Risk and contributes to the design, roll-out and governance of Citi's FRTB CVA implementation
• Validates implementation approach against FRTB Regulatory Rules, and proposes solutions to remediate any compliance and accuracy issues
• Identifies opportunities to enhance safety and soundness of FRTB CVA RWA production processes
• Analyzes FRTB CVA RWA results and identifies key drivers
• Supports Program Managers with accurate status reporting, timely escalations, and identifying risks and dependencies
• Supports Citi's internal FRTB governance and interpretive processes by conducting ad-hoc analyses, and helping with implementation and process documentation

• 3-5 years of experience in either Market or XVA Risk Management, or Quantitative Analytics/Model development
• Experience with Python, SQL, and Advanced Microsoft Office skills
• Familiarity with RWA concepts and FRTB rules preferred
• Excellent relational and communication skills
• Bachelor’s degree in quantitative fields
• Master's degree preferred
• Professional certifications such as FRM or CFA a plus

Professional certifications such as FRM or CFA

• Expanded Paid Parental Leave Policy
• Programs to help employees balance their work and life, including generous paid time off packages
• Resources to manage financial well-being and plan for the future