Market Risk / FRTB and CVA RWA Forecast Lead - SVP

Market Risk / FRTB and CVA RWA Forecast Lead - SVP

This Senior Vice President (SVP) position within Citi's Capital Planning and Management organization focuses on driving the implementation of the Fundamental Review of the Trading Book (FRTB) and Credit Valuation Adjustment (CVA) RWA Forecasting frameworks under Basel IV. The role bridges Risk, Front Office, Finance, and Technology, requiring regulatory expertise, quantitative skills, and leadership to manage a complex, multi-disciplinary program. The role involves driving process improvements, technology initiatives, and engaging with stakeholders to enhance capital planning activities, including contributing to the design and delivery of target state infrastructure.

Responsibilities This role has a wide range of responsibilities related to FRTB and CVA implementation, including:

• Program Leadership and Regulatory Alignment: Leading FRTB and CVA workstreams, aligning with regulatory timelines, translating regulations into deliverables, and coordinating across multiple functions (Market Risk, Credit Risk, Treasury, Finance, Quantitative Modeling, and Technology). Developing program roadmaps, milestones, KPIs, and escalation procedures.
• Stakeholder Management and Requirements Gathering: Acting as the primary contact for Front Office, Risk, and Finance, aligning business objectives with regulatory requirements. Partnering with Front Office and Risk Management to assess capital and P&L implications under Standardized and Internal Models approaches. Liaising with regulatory bodies and internal functions (legal, compliance).
• Methodology Development and Impact Assessment: Driving methodology development and impact assessments for FRTB (SA & IMA) and CVA (SA-CVA, BA-CVA) approaches. Guiding the design of risk sensitivities, calibration of risk weights, and alignment with approved methodologies.
• Data Management and System Enhancements: Leading the specification and validation of data sourcing, trade classification, and risk factor mapping for regulatory capital computation. Overseeing system enhancements and integration for real-time risk aggregation and regulatory reporting.
• Governance and Control: Ensuring completeness and auditability of capital reporting and attribution processes. Establishing governance around model validation, documentation, and regulatory submission. Embedding controls across capital calculation processes for Basel IV compliance.
• Regulatory Monitoring and Framework Updates: Tracking regulatory updates and assessing their impact on the existing framework.

Required Skills & Competencies

• Experience: 10+ years in Market Risk, Quantitative Risk, Regulatory Capital, or Front Office Risk, aligned with regulatory change.
• Regulatory Knowledge: Strong understanding of Basel III/IV, with deep expertise in FRTB and CVA.
• Program Management: Proven experience leading cross-functional regulatory implementation or capital optimization programs in a Tier 1 bank or consulting firm.
• Quantitative Background: Master's/PhD in Finance, Mathematics, Engineering, or a related field. Familiarity with IMA model development.
• Soft Skills: Excellent stakeholder management, project leadership, and communication skills.
• Data Management: Familiarity with data governance, data quality, and compliance frameworks.
• Technical Skills: Experience with risk systems, capital engines, and regulatory platforms. Proficiency in Microsoft Excel and PowerPoint.
• Other Skills: Ability to manage competing priorities, make decisions independently. In-depth knowledge of banking products/systems preferred. Experience in project management, process re-engineering, change management, Regulatory Capital, or Capital Planning is a plus.