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Citi · 23 hours ago

Director - FRTB Market Risk RWA Calculation and Analysis - Capital Calculation & Reporting

New York, NY

Full-time

Onsite

Senior Level, Lead/Staff

$170K/yr - $300K/yr

10+ years exp

Citi is a leading global bank, and they are seeking a Director to lead the Calculation and Analysis of FRTB Market Risk RWA across multiple jurisdictions. The role involves managing a large team, ensuring compliance with FRTB rules, and driving implementation efforts in collaboration with various stakeholders.

BankingFinanceFinancial Services

H1B Sponsor Likely

Responsibilities

Own production of FRTB Market Risk RWA results, including analysis of drivers, for both Citigroup and selected Legal Entities in EMEA and Asia

Manage a large team spread across NY, Warsaw , and Mumbai, including managing other people managers

Partner with other key stakeholders to ensure Citi's compliance with FRTB Rules and Regulatory expectations

Responsible for working with Technology to drive FRTB implementation and remediation

Closely coordinate with Front Office and Market Risk to improve the quality of FRTB results

Serve as key contributor for FRTB related Regulatory Exams, Internal Audit, and Second Line of Defense Reviews

Work with Regulatory Policy teams on interpretive items, and on ensuring governance of implementation assumptions

Contribute to FRTB advocacy efforts and impact studies, both bilaterally and representing Citi in industry FRTB forums

Qualification

FRTB implementationMarket Risk RWA calculationsData analyticsRegulatory reportingRisk managementManagerial experienceStakeholder managementProcess executionManagement Information SystemsCommunicationProblem solving

Required

10+ years of experience in Market Risk and RWA calculations

Deep expertise in FRTB implementation for a large, global Bank; Strong familiarity with FRTB rules in more than one jurisdictions

Subject matter expertise in trading book products, strategies, and risk management across multiple asset classes

Strong background in working with Technology on implementation of large, complex programs involving Front office Risk Management systems and Market/Reference data

Familiar with FRTB implementation challenges, advocacy proposals, and state-of-play across the Street

Experience in supporting Regulatory exams with US/UK/EU banking supervisors, and experience in working with Internal Audit

Hands-on data analytics experience using Python/Tableau/SQL

Working knowledge of Market Risk models and methodologies

5+ years managerial experience

Bachelor's Degree in Science, Engineering, Economics, or Financial Engineering

Preferred

Master's Degree or MBA strongly preferred

Benefits

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

Company

Citi

Glassdoor3.8

Citi's mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Founded in 1812

San Antonio, Texas, USA

10001+ employees

https://www.citi.com

H1B Sponsorship

Citi has a track record of offering H1B sponsorships. Please note that this does not guarantee sponsorship for this specific role. Below presents additional info for your reference. (Data Powered by US Department of Labor)

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Trends of Total Sponsorships

2025 (1386)

2024 (849)

2023 (1375)

2022 (1117)

2021 (876)

2020 (901)