Director - FRTB Market Risk RWA Calculation and Analysis, Citi

Citi

Location:
United States, New York

Category:
Finance

Contract Type:
Employment contract

Salary:

170000.00 - 300000.00 USD / Year

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Job Description:

The position leads the Calculation and Analysis of FRTB Market Risk RWA across multiple jurisdictions, working closely with Market Risk Managers, Front Office, and Market Risk Technology.

Job Responsibility:

Own production of FRTB Market Risk RWA results, including analysis of drivers, for both Citigroup and selected Legal Entities in EMEA and Asia
Manage a large team spread across NY, Warsaw, and Mumbai, including managing other people managers
Partner with other key stakeholders to ensure Citi's compliance with FRTB Rules and Regulatory expectations
Responsible for working with Technology to drive FRTB implementation and remediation
Closely coordinate with Front Office and Market Risk to improve the quality of FRTB results
Serve as key contributor for FRTB related Regulatory Exams, Internal Audit, and Second Line of Defense Reviews
Work with Regulatory Policy teams on interpretive items, and on ensuring governance of implementation assumptions
Contribute to FRTB advocacy efforts and impact studies, both bilaterally and representing Citi in industry FRTB forums.

Requirements:

10+ years of experience in Market Risk and RWA calculations
Deep expertise in FRTB implementation for a large, global Bank
Strong familiarity with FRTB rules in more than one jurisdictions
Subject matter expertise in trading book products, strategies, and risk management across multiple asset classes
Strong background in working with Technology on implementation of large, complex programs involving Front office Risk Management systems and Market/Reference data
Familiar with FRTB implementation challenges, advocacy proposals, and state-of-play across the Street
Experience in supporting Regulatory exams with US/UK/EU banking supervisors, and experience in working with Internal Audit
Hands-on data analytics experience using Python/Tableau/SQL
Working knowledge of Market Risk models and methodologies
5+ years managerial experience.

What we offer:

medical, dental & vision coverage
401(k)
life, accident, and disability insurance
wellness programs
paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.

Additional Information:

Job Posted:
November 25, 2025

Expiration:
December 01, 2025

Employment Type:

Fulltime

Work Type:

On-site work

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Director - FRTB Market Risk RWA Calculation and Analysis

Citi

Location:United States, New York

Category:Finance

Contract Type:Employment contract