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Market Risk RWA Senior Analyst

Market Risk RWA Senior Analyst

12542 Citicorp Services India Private LimitedMumbai Maharashtra India
30+ days ago
Job type
  • Full-time
Job description

The RWA Controllers (RWAC) team ensures the accuracy and effectiveness of Citi’s capital calculation and planning activities. The team is at forefront of evolving regulatory requirements (Basel end game) and Citi’s goal of maintaining Capital at prudent levels. This position is part of the Market Risk RWA (Risk Weighted Assets) calculation team that is responsible for implementing RWA calculation methodology and related analytics.

The role will provide the candidate an opportunity to gain an in-depth understanding of MR (Trading Book) RWA, 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 :

  • 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 risk 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 capital market products with aim to become a Market Risk SME in interactions with senior management and regulators
  • Engage with technology for the development of enhanced risk calculations, analytics, reporting and UAT testing on behalf of the team
  • Build strong relations with various partner groups and stakeholders, including Market Risk Managers, Trading desks, technology etc.

Qualifications :

  • 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), risk factor sensitivities etc.
  • Ability to understand risk models and statistical concepts and interact with developers as partners to drive improvements in MR RWA calculations
  • Advanced skills in Excel, 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)
  • Basic understanding of Front Office trading processes and associated market risk management

    • Skills and Competencies – Must be able to demonstrate :

  • Strong analytical skills with ability to analyze large data volumes and deliver risk insights
  • Ability to communicate complex technical issues in a simple manner
  • Basic understanding of traded products with focus on market risk measurement methodologies
  • Exposure to prior regulatory projects with focus on implementing calculations
  • Strong interpersonal skills to collaborate and deliver by working with multiple teams and stakeholders

    • Job Family Group : Finance

    Job Family :

    Fin Solutions Dsgn & Implement

    Time Type : Full time

    Citi is an equal opportunity and affirmative action employer.

    Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

    Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and / or apply for a career opportunity review .