Assistant Vice President Credit Valuation Adjustment RWA, Citi

Assistant Vice President Credit Valuation Adjustment RWA

Citi

Location:

India, Mumbai

Category:

Finance

Contract Type:

Not provided

Salary:

Not provided

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Job Description:

Citi Finance is responsible for the firm’s financial management and related controls. The team comprises chief financial officers who partner with each of the businesses and disciplines including controllers, financial planning and analysis, strategy, investor relations, tax and treasury. The role involves contributing to the design, roll-out, and governance of Citi's FRTB CVA implementation, validating implementation approaches, and supporting internal governance processes.

Job Responsibility:

Closely partner with XVA Desk and XVA Risk and contributes to the design, roll-out and governance of Citi's FRTB CVA implementation
Validates implementation approach against FRTB Regulatory Rules, and proposes solutions to remediate any compliance and accuracy issues
Identifies opportunities to enhance safety and soundness of FRTB CVA RWA production processes
Analyzes FRTB CVA RWA results and identifies key drivers
Supports Program Managers with accurate status reporting, timely escalations, and identifying risks and dependencies
Supports Citi's internal FRTB governance and interpretive processes by conducting ad-hoc analyses, and helping with implementation and process documentation

Requirements:

3-5 years of experience in either Market or XVA Risk Management, or Quantitative Analytics/Model development
Experience with Python, SQL, and Advanced Microsoft Office skills
Familiarity with RWA concepts and FRTB rules preferred
Excellent relational and communication skills
Bachelor’s degree in quantitative fields
Master's degree preferred
Professional certifications such as FRM or CFA a plus

Nice to have:

Professional certifications such as FRM or CFA

What we offer:

Expanded Paid Parental Leave Policy
Programs to help employees balance their work and life, including generous paid time off packages
Resources to manage financial well-being and plan for the future

Additional Information:

Job Posted:

March 21, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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