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Director - FRTB Market Risk RWA Calculation and Analysis

https://www.citi.com/ Logo

Citi

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Location:
United States , New York

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Category:

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Contract Type:
Employment contract

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Salary:

170000.00 - 300000.00 USD / Year

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

Additional Information:

Job Posted:
November 27, 2025

Employment Type:
Fulltime
Work Type:
On-site work
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