VP; Market Risk and CVA Risk Weighted Assets Lead Analyst
Citigroup Inc. Tampa, FL Full-Time
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Citi is a leading global financial services company having 200 million customer accounts. Citi does business in more than 100 countries, providing consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, and wealth management.
The Capital Planning (CP) team ensures the effectiveness of, and dedicated focus on, Citi's Capital Planning activities, recognizing the increasing importance of this function given evolving regulatory requirements and Citi's goal of maintaining Capital at prudent levels. Specifically, CP coordinates evolving regulatory rule changes and enhancements and facilitates Citi's goal of managing its Common Equity Tier 1 (CET1) ratio. This position is part of the Trading Book Market Risk Weighted Assets (MRWA) Integrity team within the Capital Planning organization of Citi Finance.
The Trading Book MRWA Integrity is responsible for the production processes, controls and reporting of MRWA Actuals, CCAR Forecasts, Regulatory Reporting and BASEL Self-Assessments. This includes monthly and quarterly computation & reporting of modeled and standardized capital charges.
The role will provide the candidate an opportunity to gain an in-depth understanding of Trading Book MRWA, including exposure to next generation of regulations such as Fundamental Review of Trading Book (FRTB) and related production processes, data management, regulatory reporting and the overall capital planning process. This in course will involve active interaction with business partners / stakeholders viz. front office/businesses, internal audit, technology, and senior management. It will involve support for the computational methodologies used to determine RWAs, including any assumptions, interpretations and/or models used to make those determinations.
Key Responsibilities Include: VP
* Spearhead the development / validation of overall capital framework - including - calculation, analytics, governance, and reporting
* Drive a complete redesign of the infrastructure for calculating Market Risk Capital by implementing various FRTB components, including, FRTB SA (Standardized Approach), IMA (Internal Model Approach) and CVA(Credit Valuation Adjustment)
* Represent capital planning in firm-wide cross-functional working groups to help build overall risk calculation & aggregation infrastructure as part of larger FRTB program.
* Drive engagement with various internal & external stakeholders to design & develop production processes, data management and control framework around capital calculation
* Engage with technology to drive business requirements and UAT for capital calculations, analytics and reporting on behalf of Capital Planning
* Gain expertise and knowledge relating to Market Risk Regulations (FRB/OCC), Basel Regulatory Guidelines and Financial products to potentially serve as a Market Risk SME in interactions with senior management and regulators
* Build strong relations with various stakeholders, including Market Risk Managers, Trading desks and related groups in Finance to drive program deliverables
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Qualifications: VP
* BA in Business, Finance, Economics, Sciences or related field (Master's degree is a plus)
* Prior experience with risk calculations in product control, risk management or similar set up with exposure to VaR, SVaR, Expected Shortfall (ES), risk factor sensitivities etc.
* May be expected to build and manage small to medium team of technical associates to drive deliverables across workstreams
* Ability to operate in large program set up with focus on cross-functional deliverables while managing dependencies and related risks
* Hands-on data analytics using Excel, Access, VBA/ SQL and other data management tools. Knowledge of additional programming languages a plus.
* 8+ years of experience in Capital Markets and understanding of trading products (Fixed Income, Equity, Currencies & Commodities) and/or securities services (Prime, Collateral, Clearing, Custody, Fund Services)
* Understanding of Front Office trading processes across the full trade lifecycle within a large bank/dealer
Key Responsibilities Include: AVP
* Actively participate in and support the development of Market Risk RWA computation framework covering FRTB Standardized Approach (SA), Internal Model Approach (IMA) and CVA components
* Interact with Front Office and Risk Management on regular basis to reconcile data points, verify calculation parameters and support attestation of final capital
* Gain expertise and knowledge relating to Market Risk Regulations (FRB/OCC), Basel Regulatory Guidelines and Financial products and aim to become a Market Risk SME in interactions with senior management and regulators.
* Actively engage with technology for the development of enhanced calculations, analytics, reporting and UAT testing on behalf of Capital Planning.
* Build strong relations with various MRWA partner groups and stakeholders, including Market Risk Managers, Trading desks and related groups in Finance.
Qualifications: AVP
* BA in Business, Finance, Economics, Sciences, or related field (Master's degree is a plus)
* Familiarity with market risk concepts and simulation-based methodologies like VaR, SVaR, Expected Shortfall (ES) etc.
* Ability to understand related models and statistical concepts and interact with model developers as partners in the Market RWA process.
* Advanced skills in Excel, Access, VBA/SQL and data management. Knowledge of additional programming languages a plus.
* 3+ years of experience in Capital Markets with exposure to Market Risk management related activities or projects.
* Basic understanding of global markets and at least one asset class among trading products (Fixed Income, Equity, Currencies & Commodities) and/or securities services (Prime, Collateral, Clearing, Custody, Fund Services)
* Basic understanding of Front Office trading processes across the full trade lifecycle within a large bank/dealer
Skills and Competencies - Must be able to demonstrate:
* Strong analytical skills, with attention to detail
* Hands-on experience in designing and implementing structured business/operational processes and associated business requirements documentation
* Exposure to analyzing legislative and regulatory texts, and associated legal analysis
* Strong interpersonal skills to collaborate with colleagues and deliver solutions in a team environment
* Strong verbal and written communication skills, to produce procedural documentation.
* Ability to communicate complex technical issues in a simple manner.
Education Level: Bachelor's Degree
Recommended Skills
• Acceptance Testing
• Analytical
• Attention To Detail
• Auditing
• Business Requirements
• Calculations
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