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Implementation of the Fundamental Review of the Trading Book (FRTB) is a key transition in market risk and a major deliverable for the Global Market Risk Group at Citi. This role is for an experienced market risk lead to manage the end to end Market Risk review and analysis of FRTB metrics for a specific asset class, starting with the Standardized Approach (SA).
Job Responsibility:
Review and analysis of FRTB metrics on a regular basis
Liaise with stakeholder to contribute to meeting key success criteria for project milestones
Drive the planning and execution of the testing FRTB metrics and identify and highlight issues at appropriate forums
Manage day to day interactions with global asset class market risk managers to discuss identified issues & associated resolutions
Coordinate with other stakeholder groups working on FRTB implementation
Be involved in the design of test use cases and hands on engagement in their execution as required
Overseeing the co-ordination across the wider team
Requirements:
10-12+ years overall experience into Risk
Prior experience in people management is preferred
Relevant experience in financial markets/market risk with good knowledge of key risk metrics and testing approaches
Prior experience in implementation of FRTB will be highly advantageous
Good presentation and communication skills
Proven track record in project delivery in technical trading risk areas
Proven ability to interface and build relationships with diverse groups and team members
SQL / Python / scripting knowledge will be very beneficial though not critical
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