This Director role will manage the FRTB CVA RWA team focusing on both Citigroup, and other key entities in EMEA and Asia.
The incumbent will be a strong subject matter expert, and will have prior experience in managing a 5-10 member team spread across multiple geographies.
This is a leadership position with considerable influence on Citi's overall FRTB strategy and implementation, and the successful candidate will have the ability to forge consensus amongst multiple key stakeholders, and collectively drive prioritization.
In addition, a keen focus on controls, governance, and understanding regulatory expectations will also be essential.
Scroll down to find the complete details of the job offer, including experience required and associated duties and tasks.
Responsibilities :
- Ensure overall accuracy and rule compliance of Citi's FRTB CVA implementation across multiple jurisdictions
- Work with Front Office, Risk Managers, and Technology to draft requirements, identify solutions to remediate issues, and validate technology implementations
- Responsible for project management of the FRTB BA CVA implementation
- Guide team to analyze FRTB CVA RWA results and identify key drivers
- Partner with interpretive, 2LOD, and Audit teams to support internal governance of FRTB CVA implementation
- Work with internal partners to design robust end-to-end controls and operating model
- Key contributor in regulatory discussions and exams, including supporting written responses and meeting presentations
Qualifications :
- 10+ years of experience in XVA Risk / Market Risk / Counterparty Risk management, or related model development / quantitative analytics roles
- Prior experience with trading book RWA calculation or management required
- Experience in directly interacting with the FRB & OCC on Risk / RWA matters; Experience in similar interactions with the PRA and ECB a plus
- Knowledge of FRTB rules strongly desired
- Strong understanding of the operating model and roles and responsibilities associated with each of the three lines of defense
- Prior involvement in FRTB related industry discussions or advocacy forums hosted by Industry Trade Associations or Consulting Firms a plus
Education :
Bachelor's degree in quantitative fields required; Advanced degree / MBA strongly preferred
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