Implementation of the Fundamental Review of the Trading Book (FRTB) is a key transition in market risk and a major deliverable for the Global Market Risk Group at Citi.
This role is for an experienced testing lead to manage the end to end Market Risk testing of FRTB, starting with the Standardised Approach (SA) portion. The successful candidate will interface across multiple functions including quantitative risk, risk technology, front office technology and other groups as well as the market risk manager population.
The candidate must be able to build highly effective relationships with colleagues and be comfortable with quantitatively complex issues, have an appetite for work at the detailed level and be a producer of high quality output. It is vital that the candidate should have good technical and business knowledge around market risk approaches, associated regulatory requirements.
The exposure gained within the global group will potentially provide the candidate opportunities to expand and evolve their role for future career development.
Role Responsibilities:
Set out a clear testing roadmap along with defining key success criteria for project milestones.
Manage the planning and execution of the testing.
Day to day manage of the testing team comprising internal & external resource with geographic dispersion.
Working with market risk manager SMEs’ to identify issues & associated resolutions in a timely manner.
Ensure testing is coordinated with the other stakeholder groups.
Be involved in the design of test use cases and hands on engagement in their execution as required.
Experience / Competencies:
Relevant experience in financial markets/market risk with good knowledge of key risk metrics and testing approaches.
Prior experience in the testing of FRTB will be highly advantageous.
Good presentation and communication skills.
Proven track record in project delivery in technical trading risk areas.
Proven ability to interface and build relationships with diverse groups and team members.
SQL skills would be needed.
Any Python or scripting knowledge would be beneficial but not critical.
