Market Risk / FRTB And CVA RWA Forecast Lead, Citi

Citi

Location:
United States, New York

Category:
Finance

Contract Type:
Employment contract

Salary:

192000.00 - 288000.00 USD / Year

Save Job

Apply Position

Job Description:

This Senior Vice President (SVP) position within Citi's Capital Planning and Management organization focuses on driving the implementation of the Fundamental Review of the Trading Book (FRTB) and Credit Valuation Adjustment (CVA) RWA Forecasting frameworks under Basel IV. The role bridges Risk, Front Office, Finance, and Technology, requiring regulatory expertise, quantitative skills, and leadership to manage a complex, multi-disciplinary program. The role involves driving process improvements, technology initiatives, and engaging with stakeholders to enhance capital planning activities, including contributing to the design and delivery of target state infrastructure.

Job Responsibility:

leading FRTB and CVA workstreams, aligning with regulatory timelines, translating regulations into deliverables, and coordinating across multiple functions (Market Risk, Credit Risk, Treasury, Finance, Quantitative Modeling, and Technology)
developing program roadmaps, milestones, KPIs, and escalation procedures
acting as the primary contact for Front Office, Risk, and Finance, aligning business objectives with regulatory requirements
partnering with Front Office and Risk Management to assess capital and P&L implications under Standardized and Internal Models approaches
liaising with regulatory bodies and internal functions (legal, compliance)
driving methodology development and impact assessments for FRTB (SA & IMA) and CVA (SA-CVA, BA-CVA) approaches
guiding the design of risk sensitivities, calibration of risk weights, and alignment with approved methodologies
leading the specification and validation of data sourcing, trade classification, and risk factor mapping for regulatory capital computation
overseeing system enhancements and integration for real-time risk aggregation and regulatory reporting
ensuring completeness and auditability of capital reporting and attribution processes
establishing governance around model validation, documentation, and regulatory submission
embedding controls across capital calculation processes for Basel IV compliance
tracking regulatory updates and assessing their impact on the existing framework.

Requirements:

10+ years in Market Risk, Quantitative Risk, Regulatory Capital, or Front Office Risk, aligned with regulatory change
strong understanding of Basel III/IV, with deep expertise in FRTB and CVA
proven experience leading cross-functional regulatory implementation or capital optimization programs in a Tier 1 bank or consulting firm
Master’s/PhD in Finance, Mathematics, Engineering, or a related field
familiarity with IMA model development
excellent stakeholder management, project leadership, and communication skills
familiarity with data governance, data quality, and compliance frameworks
experience with risk systems, capital engines, and regulatory platforms
proficiency in Microsoft Excel and PowerPoint
ability to manage competing priorities, make decisions independently
in-depth knowledge of banking products/systems preferred
experience in project management, process re-engineering, change management, Regulatory Capital, or Capital Planning is a plus.

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
discretionary and formulaic incentive and retention awards.

Additional Information:

Job Posted:
September 05, 2025

Expiration:
September 11, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

View All Jobs In This Company

Job Link Share:

Market Risk / FRTB And CVA RWA Forecast Lead

Citi

Location:United States, New York

Category:Finance

Contract Type:Employment contract