VP, Rates IBR: FRTB & Capital Optimization

Citi; Greater London; On-site; GBP 150,000 - 210,000; Full time

Job summary

Citi is seeking a VP-level professional for the Rates IBR team to lead SME work on Basel 3 Endgame / FRTB implementation and analytics. The role involves multiple analytical projects, reg-facing deliverables, and driving capital optimization initiatives to improve return on capital for Global Rates.

The candidate will work with Front Office to monitor material risks, build analytical thought processes, and support risk monitoring and capital planning across live risk portfolios.

Qualifications

• Understanding of Market risk and Basel 2.5 and Basel 3 Endgame / FRTB.
• Experience with Rates cash and derivatives; fixed income pricing and risk analytics.
• Proficiency in Excel modelling and data management.
• Strong communication with stakeholders and cross-functional teams.

Responsibilities

• Analyze gaps and enhancements in FRTB SA/IMA for Global Rates.
• Project manage stakeholder dependencies with Markets partner teams.
• Analyze drivers of market risk capital under B3E/FRTB; build tools for exposures and capital.
• Devising capital optimization strategies under FRTB regime.
• Participate in reg-facing deliverables for Front Office FRTB readiness.
• Contribute to market risk projects delivery under Basel 2.5 regime.

Skills

Excel modelling

Data management

Python

SQL

Tableau

Project management

Communication

Analytics tools

Self-starter

Visualization tools

Education

Bachelor's degree

Master's/CFA

Tools

Python

Job description

Citi is seeking a VP-level professional for the Rates IBR team to lead SME work on Basel 3 Endgame / FRTB implementation and analytics. The role involves multiple analytical projects, reg-facing deliverables, and driving capital optimization initiatives to improve return on capital for Global Rates.

The candidate will work with Front Office to monitor material risks, build analytical thought processes, and support risk monitoring and capital planning across live risk portfolios.