Market Risk RWA, Citi

Citi

Location:
India, Mumbai

Category:
Finance

Contract Type:
Employment contract

Salary:

Not provided

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Job Description:

This specific role is part of the Market Risk RWA calculation team which is responsible for calculating regulatory capital for bank’s trading book portfolio. The role will provide the candidate an opportunity to drive the production of MR RWA as it relates to FRTB or Basel end game.

Job Responsibility:

Spearhead the development of Market Risk RWA calculation framework to provide coverage for current and future regulatory changes (e.g. FRTB) including SA and IMA methodologies
Represent the team in firm-wide cross-functional working groups to provide explains for the drivers of periodic Market Risk RWA changes as well as methodology remediations
Drive engagement with Risk Management, technology as well as local finance teams to develop operating model and control framework with focus on legal entities trading book portfolios
Develop business requirements and drive UAT for capital calculations, analytics and reporting on behalf of the team
Demonstrate expertise and knowledge relating to Market Risk, Basel Regulatory Guidelines and serve as a Market Risk SME in interactions with various internal and external stakeholders
Build strong relations with various partner groups and stakeholders, including Market Risk Managers, Trading desks and related groups in Finance to drive team’s deliverables and priorities
Work directly with key business and technology and operations personnel to address day-to-day delivery and execution tasks and to ensure throughput and process execution is optimized.
Execute internal controls and document effectiveness of the control structure used in the RWA analysis

Requirements:

6-8+ years of extensive experience within the financial services industry and Market Risk management or related domain
Knowledge of market risk concepts and methodologies like VaR, Expected Shortfall (ES), SVaR, Risk factor sensitivities etc.
Ability to understand market risk concepts as it relates to regulatory capital calculations and application of it when interacting with partner groups as well as performing risk analytics on Market Risk RWA data sets
Strong communication skills, with ability to synthesize complex concepts, and influence change.
Strong technical problem-solving skills and an ability to identify conflicts, discrepancies and other issues and bring together the right stakeholders to solution them.
Ability to manage competing priorities and tasks in a complex and dynamic and work well as part of a team.
Bachelor's/University degree in Finance or Accounting, Master's degree preferred.
CFA and /or FRM certification preferred

Nice to have:

Master's degree preferred
CFA and /or FRM certification preferred

What we offer:

Equal opportunity employer
Accessibility accommodations for people with disabilities
Global benefits program

Additional Information:

Job Posted:
May 06, 2025

Employment Type:

Fulltime

Work Type:

On-site work

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Market Risk RWA