Market Risk Lead Controller

3 tygodni temu

Warszawa, Mazovia, Polska 11101 Citibank Europe plc Poland Pełny etat
About the Role:

The Market Risk Lead Controller will be responsible for spearheading the development and validation of the overall capital framework, including calculation, analytics, governance, and reporting. This role will drive rationalization in the capital calculation methodology for improved accuracy, risk driver identifications, and variance explanations. The successful candidate will represent capital planning in firm-wide cross-functional working groups to help build data management and overall risk control framework as part of the larger FRTB program.

Key Responsibilities:
  • Develop and validate the overall capital framework, including calculation, analytics, governance, and reporting.
  • Drive rationalization in the capital calculation methodology for improved accuracy, risk driver identifications, and variance explanations.
  • Represent capital planning in firm-wide cross-functional working groups to help build data management and overall risk control framework as part of the larger FRTB program.
  • Engage with technology to drive business requirements and UAT for capital calculations, analytics, and reporting on behalf of the RWAC team.
  • Participate in regulatory gap analysis, remediation plan development, and technical interpretation discussions with internal and external stakeholders.
  • Build strong relations with various stakeholders, including CVA Risk Managers, XVA Trading, and related groups in Finance.

Requirements:
  • Solid experience in Capital Markets and a good understanding of trading products (Fixed Income, Equity, Currencies, and Commodities) and/or securities services (Prime, Collateral, Clearing, Custody, Fund Services).
  • Prior experience with risk calculations in product control, risk management, or similar set-ups with exposure to CVA, EAD, risk factor sensitivities, etc.
  • Hands-on data analytics skills in Excel, Access, VBA/SQL, and other data management tools. Knowledge of additional programming languages would be a plus.
  • Understanding of Front Office trading processes across the full trade lifecycle within a large bank/dealer.
  • Prior experience with regulatory capital initiatives would be a great advantage.
  • Solid understanding of various OTC derivative products and associated counterparty credit risk calculation methodologies (EAD, CVA, sensitivities, etc.).
  • Hands-on experience in designing and implementing structured business/operational processes and associated business requirements documentation.
  • Strong verbal and written communication skills to effectively produce procedural documentation and communicate complex technical issues to non-technical colleagues.

What We Offer:
  • Inclusive and friendly corporate culture where gender diversity and equality are widely recognized.
  • Abundance of internal job opportunities locally and globally.
  • A chance to make a difference with various affinity networks and charity initiatives.
  • Competitive compensation package and consideration for a yearly discretionary bonus.
  • Attractive social benefits (private medical care, multisport, life insurance, award-winning pension scheme, holiday allowance, award/recognition system, maternity/paternity scheme, hybrid work model, lucrative bonuses within employee referral program, and other).

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