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

The position leads the Calculation and Analysis of FRTB Market Risk RWA across multiple jurisdictions, working closely with Market Risk Managers, Front Office, and Market Risk Technology.

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

Qualifications:

• 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.

Education:

• Bachelor's Degree in Science, Engineering, Economics, or Financial Engineering; Master's Degree or MBA strongly preferred

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Job Family Group:

Finance

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Job Family:

Capital Calculations and Reporting

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Time Type:

Full time

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Primary Location:

New York New York United States

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Primary Location Full Time Salary Range:

$170,000.00 - $300,000.00

In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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Most Relevant Skills

Basel III Capital, Communication, Data Analysis, Management Information Systems (MIS), Problem Solving, Process Execution, Regulatory Reporting, Risk Management, Stakeholder Management.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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Anticipated Posting Close Date:

Jan 23, 2026

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Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

 

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