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Director - FRTB Market Risk RWA Calculation and Analysis

United States, New York Employment contract 170000.00 - 300000.00 USD / Year · Job Posted November 27, 2025

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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 vacation, sick leave, and holidays

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