Citi Regulatory Risk Senior Analyst in Warsaw, Poland
Primary Location: Poland,Mazowieckie,Warsaw
Education: Higher Degree
Job Function: Risk Management
Shift: Day Job
Employee Status: Regular
Travel Time: No
Job ID: 17023626
Regular support and monitoring of Trading Book exposures for various components of Market Risk
Job background/ context:
Risk Weighted Assets GPO Team is a group within Citi’s Finance Treasury organization.
The team is responsible for Market Risk for the firm including reporting and managing several regulatory initiatives (Basel 2.5/III/FRTB etc.). The team’s focus is on understanding, controlling and improving the market risk data, exposure calculation process and the underlying risk systems and reporting infrastructure, which are critical for regulatory reporting and capital calculation.
• Produce Basel Market Risk Capital VaR, SVaR, IRC and Risk Not in Model for Citigroup and major legal entities & analyze changes in risk profiles
• Coordinate with Risk Analytics and Market Risk Managers to keep abreast of model changes and trading activities that drive VaR changes
• Prepare presentations and regulatory disclosures such as VaR in Citigroup’s 10Q/10K statements, CGML IMA Regulatory Capital, Basel III Market Risk RWA report
• Subject Matter Expert for IRC controls and enhancements
• Familiar with CitiRisk Market Risk and understand Citigroup VaR methodology
• Conduct impact (“what-if”) analysis of VaR, SVaR and IRC of new trades for business and risk managers
• Setup and maintain VaR Backtesting for South Africa FXLM desk
• Investigate factor sensitivity exposures and matrix that drive changes in VaR, SVaR and IRC, and resolve data quality issues
• Reconcile factor sensitivity exposures between front office systems and risk feeds
The position provides an opportunity to get visibility to senior members of Finance and Risk Management, to work with Front Office, Operations, Risk Analytics, and Financial Control as well as Market Risk and Business Management staff globally at all levels as well as develop expertise in Citi’s risk management systems. It offers a good platform to enhance knowledge of trading book products (over-the-counter and exchange traded derivatives) and exposure calculation mechanisms, management reporting and project management skills as well as develop strong understanding of regulatory and exposure management issues (Basel III/CRD IV, Capital/Exposure Management).
• Experience must include exposure to market risk, securitizations, securities and derivatives regulatory risk frameworks
• Financial or regulatory reporting
• Project management
• Exposure to regulatory environment (Basel III/CRD IV)
• Strong data analysis and management reporting/presentation skills.
• MS Excel/Access (ideally also VBA and SQL but not essential).
• Excellent stakeholder management skills. Ability to interact with remote business and technology partners as well as managing multiple priorities if needed.
• Organizational and project management skills.
• Strong verbal and written communication skills.
• Self-starter, proactive team player.
• Requires a Bachelor’s degree in Finance, Economics, Accounting, Business Administration or a related field and 3 years of experience in a position involving advanced regulatory reporting supporting the financial services industry
Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.